Adaptive LQG Control of Input-Output Systems---A Cost-biased Approach

In this paper, we consider linear systems in input-output form and introduce a new adaptive linear quadratic Gaussian (LQG) control scheme which is shown to be self-optimizing. The identification algorithm incorporates a cost-biasing term, which favors the parameters with smaller LQG optimal cost and a second term that aims at moderating the time-variability of the estimate. The corresponding closed-loop scheme is proven to be stable and to achieve an asymptotic LQG cost equal to the one obtained under complete knowledge of the true system (self-optimization). The results of this paper extend in a nontrivial way previous results established along the costbiased approach in other settings. Key words. LQG adaptive control, least squares identification, cost-biased identification, selfoptimality AMS subject classifications. 93E20, 93E15, 93E24, 49L20 PII. S0363012999366369

• Type: Journal
• Year: 2000
• Where: SIAMCO
• Authors: Maria Prandini, Marco C. Campi
• Keywords: Corresponding Closed-loop Scheme, Linear Quadratic Gaussian, LQG Optimal Cost, SIAMCO 2000