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This paper considers the suboptimal stochastic control of linear discrete-time dynamical systems with uncertain or stochastically varying parameters. The suboptimal scheme is based upon the use of the open-loop-feedback-optimal (OLFO) method. The state and parameter estimates are generated by an extended Kalman filter algorithm. Numerical results for first-order systems are presented.
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Ku et al. (1973) studied this question.
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