Bootstrap control

M. Aronsson, L. Arvastson, J. Holst, B. Lindoff and A. Svensson

Department of Mathematical Statistics,
Lund Institute of Technology,
Lund University,
1998

ISSN 0281-1944
ISRN LUTFD2/TFMS--3146--SE

Abstract:

In this paper we present a new way to control linear stochastic systems. The method is based on statistical bootstrap techniques. The optimal future control signal is derived in such a way that unknown noise distribution and uncertainties in parameter estimates are taken into account. This is achieved by resampling from existing data when calculating statistical distributions of future process values. The bootstrap algorithm takes care of arbitrary loss functions and unknown noise distribution even for small estimation sets. The efficient way of utilizing data implies that the method is also well suited for slowly time-varying stochastic systems.

Key words:

Statistical bootstrap techniques, Resampling, Optimal Control, Generalized Predictive Control, Stochastic Control, Quality Control, Statistical Process Control.