Optimal Joint State Filtering and Parameter Identification for Linear Systems

This paper presents the optimal LQG controller for linear systems with unknown parameters. The optimal controller equations are obtained using the separation principle, whose applicability to the considered problem is substantiated. Performance of the obtained optimal controller is verified in the illustrative example against the conventional LQG controller that is optimal for linear systems with known parameters. Simulation graphs verifying overall performance and computational accuracy of the designed optimal controller are included.