Optimal policies for identification of stochastic linear systems

The problem of designing closed-loop policies for identification of multiinput-multioutput linear discrete-time systems with random time-varying parameters is considered in this paper using a Bayesian approach. A sensitivity index gives a measure of performance for the closed-loop laws. The computation of the optimal laws is shown to be nontrivial, an exercise in stochastic control, but open-loop, affine, and open-loop feedback optimal inputs are shown to yield tractable problems. Numerical examples are given. For time-invariant systems, the criterion considered is shown to be related to the trace of the information matrix associated with the system.