Suboptimal dual controller for stochastic systems with variable design parameter

This work concerns a refinement of a suboptimal dual controller for discrete time systems with stochastic parameters. The dual property means that the control signal is chosen so that estimation of the model parameters and regulation of the output signals are optimally balanced. The control signal is computed in such a way so as to minimize the variance of output around a reference value one step further, with the addition of the term referring to a future estimate two steps ahead . An algorithm is used for the adaptive adjustment of the adjustable parameter lambda, for each step of the way. The actual performance of the proposed controller is evaluated through a Monte Carlo simulations method. Key–Words: Dual control, Stochastic control, Suboptimal control, Time varying systems