A new approach to filtering and adaptive control
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
Unable to display preview. Download preview PDF.
- 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.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.Yakowitz, S. J.,Mathematics of Adaptive Control Processes, American Elsevier Publishing Company, New York, New York, 1969.Google Scholar