Transcale LQG tracking control for a class of discrete stochastic systems

A wavelet-based real-time transcale linear-quadratic-Gaussian (LQG) tracking control algorithm is presented and discussed, which extends the classical single-scale system control tool to a multiscale scenario. The new strategy determines the control law at the finest scale such that it can reflect the control laws at different coarser scales and guarantee the corresponding performance indexes of coarser scales to be minimized. Simulation result shows that significant improvements in computational efficiency are achieved.