Geodesic
Adaptive control of continuous time linear stochastic system with quadratic cost functional
Mathematica Applicanda, Tome 25 (1996) no. 39, pp. 17-40.

Voir la notice de l'article provenant de la source Annales Societatis Mathematicae Polonae Series

An adaptive control problem for linear, continuous time stochastic system is described and solved in this paper. The unknown parameters in the model appear affinely in the drift term of the stochastic differential equation. The parameter estimates given by the maximum likelihood method are used to define the feedback gain. It is proved that the parameter estimates are strongly consistent and the cost functional reaches its minimum, i.e. the adaptive control is optimal. In this paper the continuity of the solution of the algebraic Riccati equation as a function of coefficient is also verified. The continuity is important for applications to problems in adaptive control.
DOI : 10.14708/ma.v25i39.1845
Classification : 93E35 (93C40)
Mots-clés : Stochastic learning and adaptive control, Adaptive control 
@article{10_14708_ma_v25i39_1845,
     author = {Adam Czornik},
     title = {Adaptive control of continuous time linear stochastic system with quadratic cost functional},
     journal = {Mathematica Applicanda},
     pages = { 17--40},
     publisher = {mathdoc},
     volume = {25},
     number = {39},
     year = {1996},
     doi = {10.14708/ma.v25i39.1845},
     language = {pl},
     url = {http://geodesic.mathdoc.fr/articles/10.14708/ma.v25i39.1845/}
}
TY  - JOUR
AU  - Adam Czornik
TI  - Adaptive control of continuous time linear stochastic system with quadratic cost functional
JO  - Mathematica Applicanda
PY  - 1996
SP  -  17
EP  - 40
VL  - 25
IS  - 39
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.14708/ma.v25i39.1845/
DO  - 10.14708/ma.v25i39.1845
LA  - pl
ID  - 10_14708_ma_v25i39_1845
ER  - 
%0 Journal Article
%A Adam Czornik
%T Adaptive control of continuous time linear stochastic system with quadratic cost functional
%J Mathematica Applicanda
%D 1996
%P  17-40
%V 25
%N 39
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.14708/ma.v25i39.1845/
%R 10.14708/ma.v25i39.1845
%G pl
%F 10_14708_ma_v25i39_1845
Adam Czornik. Adaptive control of continuous time linear stochastic system with quadratic cost functional. Mathematica Applicanda, Tome 25 (1996) no. 39, pp.  17-40. doi : 10.14708/ma.v25i39.1845. http://geodesic.mathdoc.fr/articles/10.14708/ma.v25i39.1845/

Cité par Sources :