Policies for simultaneous estimation and optimization

Policies for the joint identification and control of uncertain systems are presented. The discussion focuses on the case of a multiple input, single output linear system, with no dynamics and quadratic cost, and system parameters assumed to have a known Gaussian distribution. Extensions for multiple...

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Bibliographic Details
Main Authors: Lobo, M.S., Boyd, S.
Format: Conference Proceeding
Language:English
Subjects:
Aging
Control systems
Costs
Degradation
Dynamic programming
Electrical equipment industry
Gaussian distribution
Linear systems
System identification
Uncertain systems
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Summary:Policies for the joint identification and control of uncertain systems are presented. The discussion focuses on the case of a multiple input, single output linear system, with no dynamics and quadratic cost, and system parameters assumed to have a known Gaussian distribution. Extensions for multiple output, and for finite impulse response systems are straightforward. The policies proposed are heuristics, and an approximation of the optimal dynamic programming solution exploits convex optimization techniques. Numerical experiments are encouraging.
ISSN:0743-1619
2378-5861
DOI:10.1109/ACC.1999.783182