On the adaptive control of a class of systems with random parameters and disturbances (Q1068772)

The adaptive control of discrete-time parameter linear stochastic systems with random parameters is investigated. It is shown that systems whose (unknown) autoregressive parameters undergo bounded martingale difference disturbances may be stabilized by the application of the so-called modified least squares adaptive control algorithm. Asymptotically, the sample mean square performance criterion is equal to the one step ahead minimum variance control loss (which equals the prediction error variance when the system parameters are known) plus a term which is bounded by a quantity proportional to the square of the bound on the parameter disturbance. This latter term may be interpreted as the increase in the prediction error variance due to the random parameter variation.