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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.
Date of Conference: 13-15 Dec. 1972