ADAPTIVE-CONTROL OF CONTINUOUS-TIME LINEAR STOCHASTIC-SYSTEMS

被引：37

作者：

DUNCAN, TE ^{[1
]}

PASIKDUNCAN, B ^{[1
]}

机构：

[1] UNIV KANSAS,DEPT MATH,LAWRENCE,KS 66045

来源：

MATHEMATICS OF CONTROL SIGNALS AND SYSTEMS | 1990年 / 3卷 / 01期

关键词：

Adaptive control; Maximum likelihood estimates; Strong consistency;

D O I：

10.1007/BF02551355

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

An adaptive control problem for linear, continuous-time stochastic systems is described and solved in this paper. A solution of the adaptive control problem means that the family of maximum likelihood estimators is shown to be strongly consistent and the average costs are shown to converge to the optimal average costs. The unknown parameters in the model appear affinely in the drift term of the stochastic differential equation. The assumptions that are made for the solution are natural and verifiable. A recursive equation is given for the maximum likelihood estimates. © 1990 Springer-Verlag New York Inc.

引用

页码：45 / 60

页数：16

共 9 条

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