This paper presents a method for finding online adaptive optimal controllers for continuous-time linear systems without knowing the system dynamical matrices. The proposed method employs one of Intelligent Operations Research Techniques, this technique is the adaptive dynamic programming, to iteratively solve the algebraic Riccati equation using the online information of state and input, without requiring the a priori knowledge of the system dynamics. In addition, all iterations can be conducted by using repeatedly the same state and input information on some fixed time intervals. A practical online algorithm is developed in this paper, and is applied to the controller design for a turbocharged diesel engine with exhaust gas recirculation.