Adaptive Control of Stochastic Systems

In this chapter we shall consider design of adaptive regulators for bounded optimal control of a class of linear control objects in the presence of a random noise. The performance criterion for control is quadratic and may consist of mean operation of the ensemble of the realizations of the controllable process. Design of the adaptive regulator is done mainly through the identification approach using the results of chapter 5 on estimation of unknown control object parameters and those of chapter 3 on design of optimal regulators for linear stochastic control objects having completely known parameters.