Abstract

The paper proposes a novel control law, described as 'neutral', for discrete-time non-linear stochastic systems. The control law accounts for present uncertainty but neglects the possibility that present control action may influence future uncertainty. It can provide simultaneous identification and control of systems which would be linear but for uncertainty about parameters of their governing equations. The uncertain parameters are represented as additional state variables and estimated by an extended Kaiman filter cascaded with the neutral control law.

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