An integrated algorithm for stochastic steady-state system optimization and parameter estimation. (English) Zbl 0637.93074
Summary: This paper proposes an algorithm of integrated system optimization and parameter estimation (ISOPE) for stochastic steady-state systems and gives a thorough analysis for the linear-quadratic Gaussian (LQG) problem with unknown parameters under a classical information structure. A simple simulation example is used to illustrate the algorithm.
MSC:
93E20 | Optimal stochastic control |
93C05 | Linear systems in control theory |
93E10 | Estimation and detection in stochastic control theory |
62F12 | Asymptotic properties of parametric estimators |
93E25 | Computational methods in stochastic control (MSC2010) |