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Stochastic Adaptive Control

Encyclopedia of Systems and Control

Definition

Stochastic adaptive control denotes the control of partially known stochastic control systems. The stochastic control systems can be described by discrete- or continuous-time Markov chains or Markov processes, linear and nonlinear difference equations, and linear and nonlinear stochastic differential equations. The solution of a stochastic adaptive control problem typically requires the identification of the partially known stochastic system and the simultaneous control of the partially known system using the information from the concurrent identification scheme. Two desirable goals for the solution of a stochastic adaptive control problem are called self-tuning and self-optimality. Self-tuning denotes the convergence of the family of adaptive controls indexed by time to the optimal control for the true system. Self-optimizing denotes the convergence of the long-run average costs to the optimal long-run average cost for the true system. Typically to achieve the...

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Acknowledgements

Research supported by NSF grant DMS 1108884, AFOSR grant FA9550-12-1-0384, and ARO grant W911NF-10-1-0248.

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Authors and Affiliations

  1. Department of Mathematics, University of Kansas, 66045, Lawrence, KS, USA

    Tyrone Duncan

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  1. Tyrone Duncan
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Correspondence to Tyrone Duncan .

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Editors and Affiliations

  1. Electrical and Computer Engineering, Boston University, Boston, Massachusetts, USA

    John Baillieul

  2. Automation and Control Solutions, Honeywell, Golden Valley, Minnesota, USA

    Tariq Samad

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© 2014 Springer-Verlag London

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Duncan, T. (2014). Stochastic Adaptive Control. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5102-9_231-1

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  • DOI: https://doi.org/10.1007/978-1-4471-5102-9_231-1

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Chapter history

  1. Latest

    Stochastic Adaptive Control
    Published:
    07 November 2019

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_231-2

  2. Original

    Stochastic Adaptive Control
    Published:
    01 April 2014

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_231-1

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