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A new approach to filtering and adaptive control

  • L. Tesfatsion
Contributed Papers

Abstract

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 Words

Filtering and control Bayes' rule computational efficiency informational efficiency two-armed bandit problem Kalman-Bucy filter 

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References

  1. 1.
    Bucy, R. S., andJoseph, P. D.,Filtering for Stochastic Processes with Applications to Guidance, Interscience Publishers, New York, New York, 1968.Google Scholar
  2. 2.
    Kalaba, R. E., andDetchmendy, D. M.,Direct Conversion of Observational Histories Into Control Signals, Information Sciences, Vol. 1, pp. 1–5, 1968.Google Scholar
  3. 3.
    Yakowitz, S. J.,Mathematics of Adaptive Control Processes, American Elsevier Publishing Company, New York, New York, 1969.Google Scholar

Copyright information

© Plenum Publishing Corporation 1978

Authors and Affiliations

  • L. Tesfatsion
    • 1
  1. 1.Department of EconomicsUniversity of Southern CaliforniaLos Angeles

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