Caution and probing in stochastic control†

Abstract

In stochastic control the controller generally performs dual functions, reducing uncertainty and exercising control, which can interact. The effect of this interaction on the structure of control laws is investigated by discussing the separability, neutrality and certainty equivalence of two simple, solved, stochastic control problems, It is concluded that for non-LQP stochastic problems the control law may need to include terms, described as caution and probing, to account for interaction between the dual controller functions