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Adaptive one‐step‐ahead optimal controller based on WLS schemes

An optimal adaptive control technique for the discrete linear systems is discussed in this paper. The system parameters are unknown and one‐step‐ahead adaptive control design is based on the input matching approach and the weighted least‐squares (WLS) algorithm. It is shown that the adaptive stochastic system is globally closed‐loop stable and the system identification is consistent. The adaptive controller converges to the one‐step‐ahead optimal controller. Finally, some simulation examples are given to demonstrate the reliability of the new optimal adaptive control algorithm. Copyright © 2008 John Wiley & Sons, Ltd.