Example for equivalence of dual and information-based optimal control

摘要

An information-based control (IBC) has been formulated for a class of dual control problems with quadratic cost and unknown, constant parameters. Simple dual control problem has been solved by dynamic programming. Then, the solution was compared with the solution obtained by IBC. It has been shown that an appropriate choice of the intensity of learning allows to recover the optimal dual control for at least one nontrivial class of dual control problems.