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P. Caines, H. Chen (1985)
Optimal adaptive LQG control for systems with finite state process parametersThe 23rd IEEE Conference on Decision and Control
H. F. Chen, J. B. Moore (1987)
Convergence rate of continuous time ELS parameter estimationIEEE Trans. Automat. Control, 32
H. F. Chen, L. Guo (1987)
Optimal adaptive control and parameter estimates for ARMAX model with quadratic costSIAM J. Control Optim., 25
Han-Fu Chen, Lei Guo (1991)
Identification and Stochastic Adaptive Control
Han-Fu Chen, Lei Guo (1987)
Optimal adaptive control and consistent parameter estimates for ARMAX model withquadratic costSiam Journal on Control and Optimization, 25
P. Mandl, T. Duncan, B. Pasik-Duncan (1992)
On the consistency of a least squares identification procedureKybernetika, 24
P. E. Caines, H. F. Chen (1985)
Optimal adaptive LQG control for systems with finite state process parametersIEEE Trans. Automat. Control, 30
H. F. Chen, L. Guo (1986)
Optimal adaptive control with quadratic indexInternat. J. Control, 43
Han-Fu Chen, Lei Guo (1986)
Optimal stochastic adaptive control with quadratic indexInternational Journal of Control, 43
O. B. Hijab (1983)
The adaptive LQG problemIEEE Trans. Automat. Control, 28
Han-Fu Chen, J. Moore (1987)
Convergence rates of continuous-time stochastic ELS parameter estimationIEEE Transactions on Automatic Control, 32
T. Duncan, B. Pasik-Duncan (1990)
Adaptive control of continuous-time linear stochastic systemsMathematics of Control, Signals and Systems, 3
O. Hijab (1983)
The adaptive LQG problem--Part IIEEE Transactions on Automatic Control, 28
P. Kumar (1983)
Optimal Adaptive Control of Linear-Quadratic-Gaussian SystemsSiam Journal on Control and Optimization, 21
T. Duncan, P. Mandl, B. Pasik-Duncan (1992)
On least squares estimation in continuous time linear stochastic systemsKybernetika, 28
An adaptive control problem is formulated and solved for a completely observed, continuous-time, linear stochastic system with an ergodic quadratic cost criterion. The linear transformationsA of the state,B of the control, andC of the noise are assumed to be unknown. Assuming only thatA is stable and that the pair (A, C) is controllable and using a diminishing excitation control that is asymptotically negligible for an ergodic, quadratic cost criterion it is shown that a family of least-squares estimates is strongly consistent. Furthermore, an adaptive control is given using switchings that is self-optimizing for an ergodic, quadratic cost criterion.
Applied Mathematics and Optimization – Springer Journals
Published: Feb 2, 2005
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