• DocumentCode
    833909
  • Title

    Optimal linear stochastic control for systems with multiplicative noise

  • Author

    Bagchi, Arunabha ; Schilperoort, Tom

  • Author_Institution
    University of Twente, Enschede, The Netherlands
  • Volume
    25
  • Issue
    5
  • fYear
    1980
  • fDate
    10/1/1980 12:00:00 AM
  • Firstpage
    1005
  • Lastpage
    1007
  • Abstract
    The stochastic control problem of a linear dynamical system with multiplicative noise and with incomplete and inaccurate observation, has been studied for quadratic performance criterion. A suboptimal solution, which is the best linear control based on the available observations, has been worked out when the observations are given only at discrete-time points.
  • Keywords
    Linear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Control systems; Differential equations; Laboratories; Mathematics; Matrix converters; Motion control; Optimal control; Partial differential equations; Stochastic resonance; Stochastic systems;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1980.1102479
  • Filename
    1102479
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=833909