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Abstract
In this paper we first present an error analysis for the process of estimates generated by the Wonham filter when it is used for the estimation of the (finite set-valued) jump-Markov parameters of a random parameter linear stochastic system and further give bounds on certain functions of these estimates. We then consider a certainty equivalence adaptive linear-quadratic Gaussian feedback control law using the estimates generated by the nonlinear filter and demonstrate the global existence of solutions to the resulting closed-loop system. A stochastic Lyapunov analysis establishes that the certainty equivalence law stabilizes the Markov jump parameter linear system in the mean square average sense. The conditions for this result are that certain products of (i) the parameter process jump rate and (ii) the solution of the control Riccati equation and its second derivatives should be less than certain given bounds. An example is given where the controlled linear system has state dimension 2. Finally, the stabilizing properties of certainty equivalence laws which depend on (i) the maximum likelihood estimate of the parameter value and (ii) a modified version of this estimate are established under certain conditions.
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