Abstract
Optimal control of a class of time invariant single-input, discrete bilinear systems is investigated in this paper. Both deterministic and stochastic problems are considered. In the deterministic problem, for the initial state in a certain set ∑ 0, the solution is the same as the solution to the associated linear system. The optimal path may be a regular path or a singular path. The stochastic control problem is considered with perfect state observation, and additive and multiplicative noise in the state equation. It is demonstrated that the presence of noise simplifies the analysis compared to that in the determinstic case.
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