M. Flídr, M. Šimandl, and L. Král (Czech Republic)
adaptive control, dual control, cautious control, stochastic system.
The problem of optimal stochastic control of discrete stochastic state space system with uncertain parameters is considered. This problem is analytically unsolvable even for simple systems. A suboptimal dual control approach is presented which makes it possible to solve the multistage optimisation problem analytically. The analytical solvabil ity is guaranteed by employing the partial certainty equiv alence principle where the certainty equivalence assump tion is enforced only on part of the augmented state. The dual properties of the resulting control are then ensured by a modification of the criterion which evaluates quality of estimates using weighted prediction errors. The proposed dual controller is compared to other non-dual controllers in a numerical example.
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