The Optimal Adaptive Control Law for a Linear Plant with Unknown Additive Noise

摘要

The adaptive optimal control law is determined for the case of a dynamic, linear, discrete-time system, with output corrupted by an unknown noise sequence, when optimum tracking is desired. The expectation of a quadratic cost functional of system states, inputs, and tracking objectives, is minimized. The solution is obtained by extending some of the results of the dual control theory so as to apply to the given problem. (Author)