On Stochastic Adaptive Control ∗
نویسنده
چکیده
An adaptive control problem for some continuous-time linear stochastic systems and its solution are presented in this paper. The solution includes showing the strong consistency of a family of maximum likelihood (or, equivalently, least squares) estimates of the unknown parameters and the convergence of the average quadratic costs with control based on these estimates to the optimal cost. The stochastic systems are described by linear stochastic differential equations where the unknown parameters occur affinely in the drift term. We shall also consider adaptive control with regard to the discounted cost criterion and with the general noise being a homogeneous stochastically continuous process with independent increments.
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