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IMA Journal of Mathematical Control and Information 1986 3(4):323-335; doi:10.1093/imamci/3.4.323
© 1986 by Institute of Mathematics and its Applications
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An Integrated Algorithm for Stochastic Steady-State System Optimization and Parameter Estimation

C. HAN {dagger}, J. E. ELLIS, S. CHEN and P. D. ROBERTS

Control Engineering Centre, The City university Northampton Square, London EC1V 0HB

This paper proposes an algorithm of integrated system optimization and parameter estimation (ISOPE) for stochastic steady-state systems and gives a thorough analysis for the linear-quadratic Gaussian (LQG) problem with unknown parameters under a classical information structure. A simple simulation example is used to illustrate the algorithm.

{dagger}Visiting Fellow from Institute of Systems Engineering, Xi'an Jiaotong University, Xi'an, China.


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