Research on LQG control problems with bounded unknown parameters

For the LOG problems with bounded uncertain parameter existing in the state equation, a adaptive dual control approach is proposed. In this paper, it is assumed that the unknown parameter belongs to a known bounded interval. Firstly, a subdivision for the continuous bounded interval is used. Secondly, based on the subdivision, the dual controller is developed. Furthermore, the controller not only achieves minimization of the performance index, but also ensures the learning feature. Namely, it can learn a more accurate interval which contains the true value of the unknown parameter with a learning error given in advance. Finally, the effectiveness of the algorithm is verified by example simulation.