Two-stage suboptimal dual controller for systems with stochastic parameters using optimal predictors

A suboptimal dual controller is presented for a class of linear systems with unknown and randomly varying parameters. The loss function which is minimised consists of the sum of output variances up to two steps ahead in time, conditioned on past values of the control and output signals. Optimal predictors are used to replace the future outputs which are needed to compute the control signal at each step. The behaviour of the two-stage controller is illustrated by two examples