Optimal policies for identification of stochastic linear systems
- 1 December 1975
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 20 (6), 754-765
- https://doi.org/10.1109/tac.1975.1101107
Abstract
The problem of designing closed-loop policies for identification of multiinput-multioutput linear discrete-time systems with random time-varying parameters is considered in this paper using a Bayesian approach. A sensitivity index gives a measure of performance for the closed-loop laws. The computation of the optimal laws is shown to be nontrivial, an exercise in stochastic control, but open-loop, affine, and open-loop feedback optimal inputs are shown to yield tractable problems. Numerical examples are given. For time-invariant systems, the criterion considered is shown to be related to the trace of the information matrix associated with the system.Keywords
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