Optimal LQG controller for linear stochastic systems with unknown parameters

DOI10.1016/J.JFRANKLIN.2007.10.003zbMath1167.93030OpenAlexW2060867552MaRDI QIDQ2271520

Dario Calderon-Alvarez, Michael V. Basin

Publication date: 7 August 2009

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2007.10.003

zbMATH Keywords

optimal controlKalman filteringuncertain linear stochastic system

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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Cites Work

• Theory and applications of adaptive control - a survey
• Robust H ∞ filtering for a class of non-linear systems with state delay and parameter uncertainty
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Filtering on sampled-data systems with parametric uncertainty
• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• Robust kalman filtering for continuous time-lag systems with markovian jump parameters
• New approach to mixed H/sub 2//H/sub /spl infin// filtering for polytopic discrete-time systems
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
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