Problems of adaptive optimal robust control with linear-fractional performance indexes

Abstract

This paper presents some problems of adaptive optimal robust control where control criteria are linear or linear-fractional functions of unknown and non-identifiable parameters of linear discrete-time systems under uncertainty and bounded exogenous disturbance. Set-membership estimation and optimal vector estimation of unknown parameters in these problems are reduced to recurrent linear programming and are computationally tractable in the case of a small number of estimated parameters.