- Title
- Dual control of linear stochastic systems with unknown parameters
- Author
- Chen, Rong
- Degree
- Doctor of Philosophy, Case Western Reserve University,
Engineering (Undesignated), 1990.
- Advisor
- Kenneth A. Loparo
- Pages
- 152p.
- Abstract
- Closed loop control of linear stochastic control system with unknown parameters is studied by using a dual control approach. For control problems with either imperfect state observations or parameter uncertainties, the control signal to the system can actively influence the knowledge about the state of the system or about the parameters of the system. The dual controller is designed to regulate the state or output of the system to reach a certain goal and actively probe the system to obtain more information about the unknown system parameters. At each stage, the cost functional associated with the system objective is decomposed into a certainty equivalence cost and a dual cost. The active learning feature of the (dual) control explicitly accounts for the reduction of the dual cost, which measures the uncertainty of the system. An approximation technique is used to obtain a recursive closed form solution of the equations of functional dynamic programming. The dual control algorithm developed reduces the overall cost. Moreover, the algorithm is shown to be the best affine dual controller and it is very simple to implement. In certain situations, using an appropriate dual cost approximation, the computational overhead for the algorithm is minimum, and real-time control applications are practical.
- Keywords
- Dual control of linear stochastic systems with unknown parameters.
Document number: case1054752594.
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