Optimal Control of Multiple Models

J. Štecha and V. Havlena (Czech Republic)


Control, Estimation, Multiple model, Riccati equation.


Sometimes there is not possible use only one model of the system. Several possible models of the system are used. Bayesian approach enables updating the probability distri bution over the set of possible models. So each particular model in the multiple model approach has its probability which can be updated by the data obtained from the real plant. Deterministic point of view of this approach is to consider convex combination of particular models with dif ferent weights. The paper presents optimal control strategy for continuous and discrete time multiple model. Continuous time approach results in standard solution and discrete time case results in special form of Riccati equation.

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