1. A method for approximating a controller for a nonlinear, discrete-time, closed-loop, stochastic system wherein the nonlinear functions governing the system dynamics and measurement process are unknown, the method comprising the steps of: obtaining information about the system; inputting the information about the system into a data processing means; approximating the controller using the data processing means and the information about the system comprising the steps of: selecting a single function approximator to approximate directly the controller; estimating the unknown parameters of the single function approximator in the controller using a stochastic approximation algorithm; and using the single function approximator to approximate the controller, wherein an output of the single function approximator is the controller; and using the controller to control the system.