@inbook{2e99a63fb25443398413643adfd53e1c,
title = "Stochastic Lagrangian adaptive LQG control",
abstract = "This paper presents a continuous time stochastic adaptive control algorithm for completely observed linear stochastic systems with unknown parameters. The adaptive estimation algorithm is designed so that, first, it drives the estimate into a neighbourhood I δ of a set I of parameters corresponding to the true closed loop dynamics and then, second, by activating a performance monitoring feature in I δ, the estimate converges to the true system parameter and the resulting control yields optimal long run LQ closed loop performance.",
keywords = "Adaptive Control, Adaptive Control Scheme, Unique Strong Solution, Linear Stochastic System, Adaptive Control Algorithm",
author = "D Levanony and PE Caines",
year = "2002",
doi = "10.1007/3-540-48022-6_20",
language = "English",
isbn = "3-540-43777-0",
volume = "280",
series = "LECTURE NOTES IN CONTROL AND INFORMATION SCIENCES",
publisher = "Springer Berlin Heidelberg",
pages = "283--300",
booktitle = "STOCHASTIC THEORY AND CONTROL",
}