DocumentCode
801614
Title
Optimal stationary control of linear systems with control-dependent noise
Author
Kleinman, David L.
Author_Institution
Bolt, Beranek, and Newman, Inc., Cambridge, MA, USA
Volume
14
Issue
6
fYear
1969
fDate
12/1/1969 12:00:00 AM
Firstpage
673
Lastpage
677
Abstract
Optimal stochastic control is investigated for linear systems in which the intensity of the driving noise is proportional to control input. Conditions are given under which an optimal control always exists. It is shown that the optimal control is linear in the system state. A convergent algorithm is developed for computing the optimal feedback gains.
Keywords
Linear systems, time-invariant continuous-time; Optimal stochastic control; Stochastic optimal control; Automatic control; Control system synthesis; Control systems; Equations; Feedback; Humans; Linear systems; Optimal control; Proportional control; Random processes;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1969.1099303
Filename
1099303
Link To Document