AbstractA self‐tuning controller which automatically assigns weightings to control and set‐point following is introduced. This discrete‐time single‐input single‐output controller is based on a generalized minimum‐variance control strategy. The automatic on‐line selection of weightings is very convenient, especially when the system parameters are unknown or slowly varying with respect to time, which is generally considered to be the type of systems for which self‐tuning control is useful. This feature also enables the controller to overcome difficulties with non‐mini