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math.OC2024★ 1 cited
Analyzing the Impact of Computation in Adaptive Dynamic Programming for Stochastic LQR Problem
Wenhan Cao, Alexandre Capone, Sandra Hirche +1
Adaptive dynamic programming (ADP) for stochastic linear quadratic regulation (LQR) demands the precise computation of stochastic integrals during policy iteration (PI). In a fully…
math.OC2014★ 1 cited
A Sparse Bayesian Approach to the Identification of Nonlinear State-Space Systems
Wei Pan, Ye Yuan, Jorge Gonçalves +1
This technical note considers the identification of nonlinear discrete-time systems with additive process noise but without measurement noise. In particular, we propose a method an…