Abstract
In the first part of the paper, a new design adaptive controller with generalized cost-function is derived for timevarying systems with unknown timevarying noise statistics. The controller consists of two part. The first part, using the modified adaptive Kalman filtering, is to identify timevarying systems with unknown timevarying noise statistics, the second part is to compute multistep adaptive predictor on-line based on the estimated parameters and noise statistics, then, to compute adaptive controller with generalized cost-function. In the second part of the paper, two simulated examples are given to show the performance of the presented controller.
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