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A self-optimizing adaptive LQG control scheme for input-output systems

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2 Author(s)
M. Prandini ; Dipt. di Elettronica per l''Automazione, Brescia Univ., Italy ; M. C. Campi

We consider the optimal control problem of an unknown linear system in input-output form based on the linear quadratic Gaussian (LQG) control design method. A self-tuning LQG control scheme is proposed which is shown to be stable and self-optimizing. Optimality is achieved by using an identification algorithm which incorporates a cost-biasing term favoring the parameters with smaller LQG optimal cost and a second term aiming at moderating the time-variability of the estimate

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Decision and Control, 2000. Proceedings of the 39th IEEE Conference on  (Volume:2 )

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