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This note shows that the optimal control of dynamic systems with uncertain parameters has certain limitations. In particular, by means of a simple scalar linear-quadratic optimal control example, it is shown that the infinite horizon solution does not exist if the parameter uncertainty exceeds a certain threshold; we call this the Uncertainty Thereshold Principle. The philosophical and design implications...
This paper considers the suboptimal stochastic control of linear discrete-time dynamical systems with unknown or stochastically varying parameters. The sub-optimal scheme is based upon the use of the open-loop-feedback-optimal (O.L.F.O.) method. The state and parameter estimates are generated by an extended Kalman filter algorithm. Numerical results for first order systems are presented.
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