Parameter identification and stochastic control

Abstract

This paper is presented in two parts. PART I deals with the identification of the parameters of discrete systems described by difference equations, using a tailoredform of the Kalmanfilter. PART II describes the methodology of stochastic controller design based on the identified parameters found in PART I to control the original noise-corrupted system. The approach taken is that of optimal prediction based on the solution of a linear Diophantine equation.