AbstractThe sensitivity of optimally controlled systems to parameter variations is examined in this paper. Two general approaches toward compensating for these variations are employed. The first, for open‐loop systems, involves augmenting the performance index with sensitivity terms and minimizing this combined index. The second approach, an adaptive‐type controller, involves estimating those parameter variations that have caused an observed state deviation, and adjusting the control policy in response to this measurement. Numerical examples applied to continuous, discrete‐time, and discrete‐staged systems demonstrate the effectiveness of these approaches in adapting the control policy to parameter variations.