An Integrated Algorithm for Stochastic Steady-State System Optimization and Parameter Estimation
C. HAN, J.E. Ellis, Shuwu Chen Chen, Philip D. Roberts · IMA Journal of Mathematical Control and Information · 1986
This paper proposes an algorithm of integrated system optimization and parameter estimation (ISOPE) for stochastic steady-state systems and gives a thorough analysis for the linear-quadratic Gaussian (LQG) problem with unknown parameters under a classical information structure. A simple simulation example is used to illustrate the algorithm.