Stochastic Control Problems

Jan H. van Schuppen*

*Corresponding author for this work

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientific


A stochastic control problem is to determine a control law within a rather general set of control laws such that the closed-loop system meets prespecified control objectives. A stochastic control problem is motivated by control problem of engineering, economics, or other areas of the sciences. The concepts of an information pattern, a control law, and of a closed-loop stochastic system are defined. The main control objectives are stability, optimization of performance, and robustness in case of changes in the control system. Control synthesis at a theoretic level is described. Statistical decision problems are treated as elementary stochastic control problems in which there is no dynamics.

Original languageEnglish
Title of host publicationControl and System Theory of Discrete-Time Stochastic Systems
EditorsJ.H. van Schuppen
Number of pages36
ISBN (Electronic)978-0-030-66952-2
Publication statusPublished - 2021

Publication series

NameCommunications and Control Engineering
ISSN (Print)0178-5354
ISSN (Electronic)2197-7119


  • Control law
  • Stochastic control problems


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