IEEE Transactions on Automatic Control, Vol.46, No.5, 756-760, 2001
Optimal one-step-ahead stochastic adaptive control
An optimal indirect stochastic adaptive control is obtained explicitly for linear time-varying discrete-time systems with general delay and white noise perturbation, while minimizing the variance of the output around a desired value one step ahead, The resulting controller incorporates parameter uncertainties. The solution unifies and generalizes previously known results, which become special cases. The results are compared with a certainty equivalence controller in an example.
Keywords:cautious control;one-step-ahead stochastic control;stochastic adaptive control;stochastic optimization