Stochastic adaptive control for continuous-time linear systems with quadratic cost
The model for the adaptive control problem is given by the controlled diffusion \((X(t)\), \(t\geq 0)\), that is, a solution to the stochastic differential equation \[ dX(t)= (AX(t)+BU(t))dt+ C dW(t), \qquad X(0)=X_0, \] where \(X(t)\in \mathbb{R}^n\), \(U(t)\in\mathbb{R}^m\), \(W\) is a standard \(p\)-dimensional Wiener process and \(A\), \(B\), and \(C\) are suitable linear transformations. The desire is to minimize a given standard ergodic cost functional in the case when \(A\), \(B\), \(C\) are unknown. Assuming only that \(A\) is stable and that the pair \((A,C)\) is controllable, and using a diminishing excitation control, it is shown that a family of least-squares estimates is strongly consistent. An adaptive control using switchings is defined and shown to be self-optimizing for the control problem.
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