On a sub-optimal control scheme of linear stochastic systems with inaccurate models†

This paper presents a problem of deriving a sub-optimal control scheme of linear, discrete-time systems with inaccurate models. The sub-optimal control policy is determined as a linear combination of an estimate of the state when the expected value of a quadratic performance index is to be minimized. The estimate obtained from the sub-optimal filtering equations is modified by a hypothesis test of statistics for the innovation sequence. The numerical results of digital simulation indicate that this approach improves the system performance.