Abstract
AbstractSome problems and solutions of adaptive control problems for continuous time stochastic systems are described. A solution is given to the adaptive linear quadratic Gaussian control problem under the natural assumptions of controllability and observability. The effects of sampling and numerical differentiation on a least‐squares estimation algorithm are described. Adaptive control problems for non‐linear stochastic systems and linear stochastic distributed parameter systems are briefly described. Copyright © 2002 John Wiley & Sons, Ltd.
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