Stochastic Adaptive Control
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Stochastic adaptive control focuses on the control of partially known stochastic systems. These systems occurs in both continuous and discrete time and are described by Markov chains, stochastic difference equations, and stochastic differential equations. Two major goals for the solutions are self-tuning and self-optimizing. These two goals are typically determined asymptotically so that self-optimality denotes the convergence of the average costs to the optimal long-run average cost for the true system.