Adaptive control with recursive identification for stochastic linear systems: Multivariable case

@article{Caines1982AdaptiveCW,
  title={Adaptive control with recursive identification for stochastic linear systems: Multivariable case},
  author={Peter E. Caines and Stephen Lafortune},
  journal={1982 21st IEEE Conference on Decision and Control},
  year={1982},
  pages={978-983}
}
This paper presents a stochastic adaptive control algorithm which is shown to possess the following properties when applied to an unstable, inverse stable, multivariable linear stochastic system with unknown parameters, whenever that system satisfies a certain positive real condition on its (moving average) noise dynamics: (i) The adaptive control part of the algorithm stabilizes and asymptotically optimizes the behaviour of the system in the sense that the sample mean square variation of the… CONTINUE READING
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