TY - GEN
T1 - Stochastic linear-quadratic adaptive control
T2 - 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
AU - Levanony, David
AU - Caines, Peter E.
PY - 2005/12/1
Y1 - 2005/12/1
N2 - A conceptual adaptive linear-quadratic (LQ) control scheme is proposed. Its derivation is based on a study of a family of asymptotic maximum likelihood (AML) estimators, and their associated limit sets. The geometric properties of such limit sets, lead to the formulation of a time-varying, constrained optimization problem, whose solution is an inherently consistent estimate of the system's unknown parameters. When incorporated within a certainty-equivalence adaptive control scheme, these estimates yield optimal long-run LQ closed-loop performance.
AB - A conceptual adaptive linear-quadratic (LQ) control scheme is proposed. Its derivation is based on a study of a family of asymptotic maximum likelihood (AML) estimators, and their associated limit sets. The geometric properties of such limit sets, lead to the formulation of a time-varying, constrained optimization problem, whose solution is an inherently consistent estimate of the system's unknown parameters. When incorporated within a certainty-equivalence adaptive control scheme, these estimates yield optimal long-run LQ closed-loop performance.
UR - http://www.scopus.com/inward/record.url?scp=33847229852&partnerID=8YFLogxK
U2 - 10.1109/CDC.2005.1582412
DO - 10.1109/CDC.2005.1582412
M3 - Conference contribution
AN - SCOPUS:33847229852
SN - 0780395689
SN - 9780780395688
T3 - Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
SP - 1747
EP - 1752
BT - Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Y2 - 12 December 2005 through 15 December 2005
ER -