Bicriterial dual control for stochastic systems with unknown variable parameters

A suboptimal dual controller for discrete stochastic systems with unknown parameters is proposed. Two criteria are designed and used to ensure both aspects of dual control - caution and active learning. The optimization procedure consists of minimization of a quadratic cost function and maximization of the one-step prediction error on certain domain. Extended Kalman filter and Gaussian sum method were used for simultaneous state and parameter estimation of systems with Gaussian and non-Gaussian disturbances, respectively. A comparison of the proposed dual controller with caution and certainty equivalent controllers is shown in numerical examples. Copyright (C) 2001 IFAC.