A parameter-adaptive control technique

  • Authors:
  • G. Stein;G. N. Saridis

  • Affiliations:
  • Honeywell Inc., Systems & Research Div., Research Dept., 2345 Walnut Street, St. Paul, Minnesota 55113, USA;Purdue University, Department of Electrical Engineering, West Lafayette, Indiana, USA

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 1969

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Abstract

Control of linear stochastic systems with unknown parameters is accomplished by means of an approximate solution of the associated functional equation of dynamic programming. The approximation is based on repeated linearizations of a quadratic weighting matrix appearing in the optimal cost function for the control process. This procedure leads to an adaptive control system which is linear in an expanded vector of state estimates with feedback gains which are explicit functions of a posteriori parameter probabilities. The performance of this controller is illustrated with a simple example.