Optimal Control of Linear Time-Invariant Discrete-Time Systems without Prior Parametric Identification

We consider the problem of optimal control of a linear time-invariant discrete-time system by inaccurate measurements of its output signals subject to guaranteed satisfaction of geometric constraints on the output signals. We study the case in which a minimal realization of the system in the state space is known and the case where the parametric model of the system is not known. A novel method is proposed for solving the problem in the case of an unknown model. The method is based on a single observed trajectory of the input and output signals of the system and allows omitting the stage of parametric identification of the system.