Implicit dual control for general stochastic systems

A new implicit dual technique is presented for stochastic adaptive control synthesis. In this technique, denoted as the method of utility costs (MOUC), a new control policy is derived from a known starting control policy by using a single iteration in time-varying policy space. An important result is that the new control policy yields a corresponding improvement in adaptive performance relative to the known starting policy. Since the starting policy can be chosen arbitrarily, the new policy has potentially superior performance relative to any existing design. Unlike other implicit dual designs, the MOUC can be applied to systems having constrained inputs, discontinuities, discrete valued disturbances, as well as in situations where the variances of the associated process statistics are large. A numerical example is given in which a controller is synthesized to provide improved performance relative to the Open-Loop Feedback policy of Dreyfus.