A computationally efficient optimal solution to the LQG discrete time dual control problem

Adaptive Control and Optimal Input Design: A Realistic Approach

“…We do not intend to present the details of one particular solution. What we propose is to adjoin to any given adaptive control scheme based on the 'certainty equivalence principle' an optimization algorithm which, at each step, maximizes over the admissible range (4) for the control signal a given criterion, (7) and (8)for instance. Although this strategy can be classified as actively dual, the compromise it realizes between control and identification is not evident.…”