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Adaptive control of continuous time stochastic systems
Author(s) -
Duncan T.E.,
PasikDuncan B.
Publication year - 2002
Publication title -
international journal of adaptive control and signal processing
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.73
H-Index - 66
eISSN - 1099-1115
pISSN - 0890-6327
DOI - 10.1002/acs.712
Subject(s) - controllability , observability , adaptive control , linear quadratic gaussian control , stochastic control , control theory (sociology) , mathematical optimization , linear system , computer science , gaussian , stochastic process , mathematics , control (management) , optimal control , statistics , mathematical analysis , physics , quantum mechanics , artificial intelligence
Some problems and solutions of adaptive control problems for continuous time stochastic systems are described. A solution is given to the adaptive linear quadratic Gaussian control problem under the natural assumptions of controllability and observability. The effects of sampling and numerical differentiation on a least‐squares estimation algorithm are described. Adaptive control problems for non‐linear stochastic systems and linear stochastic distributed parameter systems are briefly described. Copyright © 2002 John Wiley & Sons, Ltd.