Adaptive predictive control for time-varying stochastic systems

Author

Lindoff, B. ; Holst, J.

Author_Institution

Dept. of Math. Stat., Lund Inst. of Technol., Sweden

Volume

3

fYear

1997

fDate

10-12 Dec 1997

Firstpage

2477

Abstract

In this paper we present an optimal adaptive predictive controller (APC) for general linear time-varying stochastic systems. It is shown that the controller can be explicitly computed for arbitrary prediction horizons. However, for larger predictions horizons than say 3-4, the expression will be quite complicated, due to the need to compute higher order moments of stochastic vectors. We show the explicit expression for the one- and two-step controllers. We also discuss the possibility to use the APC as a suboptimal solution to the dual control problem

Keywords

adaptive control; control system analysis; linear systems; method of moments; predictive control; stochastic systems; suboptimal control; adaptive control; dual control; higher order moments; linear systems; predictive control; stochastic systems; suboptimal control; time-varying systems; Adaptive control; Control systems; Open loop systems; Optimal control; Predictive control; Programmable control; Statistics; Stochastic processes; Stochastic systems; Time varying systems;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1997., Proceedings of the 36th IEEE Conference on

Conference_Location

San Diego, CA

ISSN

0191-2216

Print_ISBN

0-7803-4187-2

Type

conf

DOI

10.1109/CDC.1997.657528

Filename

657528