On the adaptive control of linear systems using the open-loop-feedback-optimal approach

This paper considers the suboptimal stochastic control of linear discrete-time dynamical systems with unknown or stochastically varying parameters. The sub-optimal scheme is based upon the use of the open-loop-feedback-optimal (O.L.F.O.) method. The state and parameter estimates are generated by an extended Kalman filter algorithm. Numerical results for first order systems are presented.