Constrained suboptimal dual control algorithms for discrete-time stochastic systems

AbstractIn this paper, a suboptimal solution to the dual control problem for discrete-time stochastic systems under the amplitude-constrained control is considered. The objective of the control is to minimize the two-step quadratic cost function for the problem of tracking the given reference sequence. The presented approach is based on the MIDC (Modified Innovation Dual Controller) derived from an IDC (Innovation Dual Controller) and the TSDSC (Two-stage Dual Suboptimal Control. As a result, a new algorithm, i.e. the two-stage innovation dual control (TSIDC) algorithm is proposed. The standard Kalman filter equations are applied for estimation of the unknown system parameters. Example of second order system is simulated in order to compare the performance of proposed control algorithms. Conclusions yielded from simulation study are given.