In designing of many systems and solving the problems, we need to choose an answer between some possible answers as an optimal response. But because of the wide range of answers, all of them cannot be tested and then this test should be performed stochastically. On the other hand, this stochastic procedure should lead to the best answer .
Because of its simple implementation in engineering problems, it has been paid special attention on linear quadratic optimal control theory. Linear quadratic optimal control is significant for modern control theory and it can be implemented easily for engineering applications and it is the basic theory of other control techniques. However, in a special case which the cost function is a linear quadratic function, the o...
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