  The aim of this paper is to explain how parameters adjustments can be
integrated in the design or the control of automates of trading. Typically, we
are interested by the online estimation of the market impacts generated by
robots or single orders, and how they/the controller should react in an optimal
way to the informations generated by the observation of the realized impacts.
This can be formulated as an optimal impulse control problem with unknown
parameters, on which a prior is given. We explain how a mix of the classical
Bayesian updating rule and of optimal control techniques allows one to derive
the dynamic programming equation satisfied by the corresponding value function,
from which the optimal policy can be inferred. We provide an example of
convergent finite difference scheme and consider typical examples of
applications.
