Suboptimal control of linear stochastic multivariable systems with unknown parameters

An algorithm is proposed for suboptimal control of linear multivariable systems with unknown parameters and output noise covariances. This algorithm is based on the idea of explicitly separating the functions of identification, estimation and control. The parameters and states of the system are estimated in a bootstrap manner by the stochastic approximation method. A suboptimal controller is then obtained which utilizes a deterministic control gain derived using the estimates obtained from the parameter and state estimators. This suboptimal controller will approach the optimal strategy when the estimated system parameters approach their true values.