Indexed on: 01 Feb '91Published on: 01 Feb '91Published in: Journal of Optimization Theory and Applications
In this note, we consider the adaptive control of a linear diffusion process with regard to the discounted cost criterion. We show that the certainty-equivalence type of control, analogous to the one considered by Duncan and Pasik-Duncan (Ref. 1), is asymptotically discount optimal in the sense of Schäl (Ref. 2).