Stochastic Lagrangian adaptive LQG control

D Levanony, PE Caines

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

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.
Original languageEnglish
Title of host publicationSTOCHASTIC THEORY AND CONTROL, PROCEEDINGS
PublisherSpringer Berlin Heidelberg
Pages283-300
Volume280
ISBN (Electronic)978-3-540-48022-8
ISBN (Print)3-540-43777-0
DOIs
StatePublished - 2002

Publication series

NameLECTURE NOTES IN CONTROL AND INFORMATION SCIENCES

Keywords

  • Adaptive Control
  • Adaptive Control Scheme
  • Unique Strong Solution
  • Linear Stochastic System
  • Adaptive Control Algorithm

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