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Adaptive control of continuous-time linear stochastic systems

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Abstract

An adaptive control problem for linear, continuous-time stochastic systems is described and solved in this paper. A solution of the adaptive control problem means that the family of maximum likelihood estimators is shown to be strongly consistent and the average costs are shown to converge to the optimal average costs. The unknown parameters in the model appear affinely in the drift term of the stochastic differential equation. The assumptions that are made for the solution are natural and verifiable. A recursive equation is given for the maximum likelihood estimates.

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Authors and Affiliations

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

    T. E. Duncan & B. Pasik-Duncan

Authors
  1. T. E. Duncan
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  2. B. Pasik-Duncan
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Additional information

This research was partially supported by NSF Grants ECS-8403286-A01 and ECS-8718026.

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Duncan, T.E., Pasik-Duncan, B. Adaptive control of continuous-time linear stochastic systems. Math. Control Signal Systems 3, 45–60 (1990). https://doi.org/10.1007/BF02551355

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  • DOI: https://doi.org/10.1007/BF02551355

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