Adaptive LQG control of input-output systems---A cost-biased approach (Q2706162)

This paper extends previous results established along the cost-biased approach in other settings in a nontrivial way.NEWLINENEWLINENEWLINEIt considers linear systems in input-output form and introduces a new adaptive linear quadratic Gaussian (LQG) control scheme being self-optimizing. The identification algorithm incorporates two terms. The first, a cost biasing term, favors the parameters with smaller LQG optimal cost. The second term aims at moderating the time-variability of the estimate. The corresponding closed-loop scheme is stable and achieves an asymptotic LQG cost equal to the one obtained under complete knowledge of the true system.