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A new approach is presented for the problem of stochastic control of nonlinear systems. It is well known that, except for the linear-quadratic problem, the optimal stochastic controller cannot be obtained in practice. In general it is the curse of dimensionality that makes the strict application of the principle of optimality infeasible. The two subproblems of stochastic control, estimation and control proper, are, except for the linear-quadratic case, intercoupled. As pointed out by Feldbaum, in addition to its effects on the state of the system, the control also affects the estimation performance. In this paper, the control problem is formulated such that this dual property of the control appears explicitly. The resulting control sequence exhibits the closed-loop property, i.e., it takes into account the past observations and also the future observation program. Thus, in addition to being adaptive, this control also plans its future learning according to the control objective. Some preliminary simulation results illustrate these properties of the control.
Tse et al. (Sun,) studied this question.