On LQG problems with unknown noises
噪声未知的LQG控制问题研究

For the control problem of linear-quadratic-Gaussian(LQG) with unknown variances of noises, a dual adaptive control approach with learning features is proposed. The controller, on the one hand, drives the system toward a desired state; on the other hand, it performs the learning process to reduce the uncertainties of unknown parameters. Simulation results validate the proposed approach.