A new approach to filtering and adaptive control
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A simple distribution-free method is proposed for directly estimating and updating a criterion function without recourse to prior state space specification, updated state probabilities, and Bayes' rule. Optimality properties and efficiency advantages of the method are illustrated in terms of a two-armed bandit problem. The relationship between direct criterion function estimation and Kalman-Bucy filtering is clarified.
Key WordsFiltering and control Bayes' rule computational efficiency informational efficiency two-armed bandit problem Kalman-Bucy filter
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