This paper proposes a novel adaptive dynamic programming method, called Incremental model-based Global Dual Heuristic Programming, to generate a self-learning adaptive controller, in the absence of sufficient prior knowledge of system dynamics. An incremental technique is employed for online model identification, instead of the artificial neural networks commonly used in conventional Global Dual Heuristic Programming. The incremental model has the capability of tackling nonlinearity and uncertainty of the plant, but can also guarantee high precision of online identification without the requirement of offline training. On the basis of the identified model, two neural networks are adopted to facilitate the implementation of the self-learning controller, by approximating the cost-to-go and its derivatives and the control policy, respectively. Both methods are applied to a tracking control problem of a nonlinear aerospace system and the results show that the proposed method outperforms conventional Global Dual Heuristic Programming in online learning speed, tracking precision and robustness to variation of initial system states and network weights.