Title :
Adaptive predictive control for time-varying stochastic systems
Author :
Lindoff, B. ; Holst, J.
Author_Institution :
Dept. of Math. Stat., Lund Inst. of Technol., Sweden
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;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657528