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Recursive order estimation of stochastic control systems

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Abstract

The predictive least squares criterion for order estimation is combined with an adaptive control strategy minimizing a quadratic cost and applied to multidimensional ARX systems. It is then shown that this combination enables us to estimate, recursively and in a strongly consistent way, both the order and the coefficients of the controlled system, while achieving asymptotically optimal cost.

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Authors and Affiliations

  1. Department of Electrical Engineering, Imperial College, SW7 2BT, London, England

    E. M. Hemerly & M. H. A. Davis

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  1. E. M. Hemerly
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  2. M. H. A. Davis
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On leave from the Instituto Tecnológico de Aeronáutica, São José dos Campos, SP, Brazil. Work supported by ITA and CAPES, Brazil.

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Hemerly, E.M., Davis, M.H.A. Recursive order estimation of stochastic control systems. Math. Systems Theory 22, 323–346 (1989). https://doi.org/10.1007/BF02088305

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  • DOI: https://doi.org/10.1007/BF02088305

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