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Adaptive conyrol of discrete time-varying LQG

Czornik A.

Roczniki Polskiego Towarzystwa Matematycznego. Seria 3: Matematyka Stosowana

1999

[Z] 41

21-33

The adaptive version of the discrete time-varying linear quadratic control is considered under the assumption that the coefficients have limits as time tends to infinity sufficiently fast in certain sense and the limiting system is observable and stabilizable. It is proved that time invariant LS estimator can be used to estimate the limits of the coefficients and that it is strongly consistent under some conditions well known from the time invariant case. The estimator of the parameters is used define an adaptive control law and it is shown that the control law is optimal.