Abstract
The problem of the Sampled-Data (SD)-based adaptive Linear Quadratic Gaussian (LQG) optimal control of linear stochastic continuous-time systems with unknown parameters and stochastic disturbances is considered in this paper. For the case where the parameters belong to a known compact set and only sampled information of the system state is available, an SD-based LQG adaptive control is designed. It is shown that the control law is optimal for the corresponding discretised system and suboptimal for the original continuous-time system.
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