Stochastic Lagrangian Adaptation

Peter E. Caines received the BA in mathematics from Oxford University in 1967 and the PhD in systems and control theory in 1970 from Imperial College, University of London,  supervised by David Q. Mayne, FRS. Following  PDF and visiting positions,a  he joined McGill University in 1980, where he is Distinguished James McGill Professor and Macdonald Chair in the Department of Electrical and Computer Engineering. He received the IEEE Control Systems Society Bode Lecture Prize (2009), is a Fellow of  IFAC, CIFAR, SIAM, IEEE, the IMA (UK) and the Royal Society of Canada (2003), and is a member of Professional Engineers Ontario. His monograph, Linear Stochastic Systems (Wiley, 1988), is now published as a SIAM Classic and his research interests include stochastic and hybrid systems, and mean field (control and games) systems on large networks.

David Levanony (BSc., Aerospace Eng., 1985, MSc., Aerospace Eng., 1988, DSc., Electrical Eng., 1992, Technion, Haifa, Israel) is a Senior Lecturer with the School of Electrical and Computer Engineering, Ben Gurion University, Beer Sheva, Israel and a consultant with the defense industry in Israel.

Introduction.- Problem Statement.- Asymptotic Maximum Likelihood Identification.- Geometric Results.- Lagrangian Adaptation.- Proof of Theorem 5.2.- Index.