Stochastic optimal control of ARMAX model

Author

Stecha, Jan

Author_Institution

Dept. of Autom. Control, Czech Tech. Univ. of Prague, Prague, Czech Republic

fYear

1997

fDate

1-7 July 1997

Firstpage

482

Lastpage

487

Abstract

Simultaneous state estimation and parameter tracking of time varying input-output ARMAX model with known noise parameters was described recently. Optimal control strategies of such model are developed in this contribution. Certainty equivalent and cautious LQ strategies (Linear system and Quadratic criterion) are obtained. Certainty equivalent strategies operate with state and parameter means only and so neglect the uncertainty while cautious strategies take parameter and state estimation uncertainty into the consideration.

Keywords

autoregressive moving average processes; linear quadratic control; linear systems; parameter estimation; state estimation; stochastic systems; autoregressive moving average with exogenous inputs; cautious LQ strategies; certainty equivalent strategies; linear system; noise parameters; optimal control strategies; parameter estimation uncertainty; parameter tracking; quadratic criterion; state estimation; stochastic optimal control; time varying input-output ARMAX model; Mathematical model; Noise; Optimal control; Random variables; State estimation; Stochastic processes; Uncertainty; ARMAX model; Optimal control; Stochastic system;

fLanguage

English

Publisher

ieee

Conference_Titel

Control Conference (ECC), 1997 European

Conference_Location

Brussels

Print_ISBN

978-3-9524269-0-6

Type

conf

Filename

7082141