Stochastic linear-quadratic adaptive control: A conceptual scheme

David Levanony, Peter E. Caines

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Scopus citations

Abstract

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.

Original languageEnglish
Title of host publicationProceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Pages1747-1752
Number of pages6
DOIs
StatePublished - 1 Dec 2005
Event44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05 - Seville, Spain
Duration: 12 Dec 200515 Dec 2005

Publication series

NameProceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Volume2005

Conference

Conference44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Country/TerritorySpain
CitySeville
Period12/12/0515/12/05

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