Stochastic Lagrangian Adaptation in Bloomington, MN

This book introduces a cutting-edge continuous time shastic linear quadratic (LQ) adaptive control algorithm for fully observed linear shastic systems with unknown parameters. The adaptive estimation algorithm is engineered to drive the maximum likelihood estimate into the set of parameters representing the true closed-loop dynamics. By incorporating a performance monitoring feature, this approach ensures that the estimate converges to the true system parameters. Concurrently, it delivers optimal long-term LQ closed-loop performance. This groundbreaking work offers a significant advancement in the field of shastic control systems.