Discrete time optimal adaptive control for linear stochastic systems

Optimal Finite-time Control of Positive Linear Discrete-time Systems

This paper considers solving optimization problem for linear discrete time systems such that closed-loop discrete-time system is positive (i.e., all of its state variables have non-negative values) and also finite-time stable. For this purpose, by considering a quadratic cost function, an optimal controller is designed such that in addition to minimizing the cost function, the positivity proper...

Optimal Adaptive Control of Uncertain Stochastic Discrete Linear Systems

The problem of optimal control of stochastic discrete linear time-invariant uncertain systems on finite time interval is formulated and partially solved. This optimal solution shows that previously published adaptive optimal control schemes and indirect adaptive control schemes do not need heuristics for their rationalization. It is shown that these schemes are suboptimal causal approximations ...

Suboptimal Adaptive Filter for Discrete-Time Linear Stochastic Systems

This paper considers the problem of recursive filtering for linear discrete-time systems with uncertain observation. A new approximate adaptive filter with a parallel structure is herein proposed. It is based on the optimal mean square combination of arbitrary number of correlated estimates which is also derived. The equation for error covariance characterizing the mean-square accuracy of the n...

Optimal control of linear fuzzy time-variant controlled systems

In this paper, we study linear fuzzy time-variant optimal control systems using the generalized differentiability concept and we present the general form of optimal controls and states. Some examples are provided to illustrate our results.

Stochastic Mixed LQR/H∞ Control for Linear Discrete-Time Systems