Filtering and LQG problems for discrete-time stochastic singular systems

Author

Dai, Liyi

Author_Institution

Inst. of Syst. Sci., Acad. Sinica, Beijing, China

Volume

34

Issue

10

fYear

1989

fDate

10/1/1989 12:00:00 AM

Firstpage

1105

Lastpage

1108

Abstract

Discrete-time stochastic singular systems are discussed. Filtering and linear-quadratic-Gaussian (LQG) problems are considered. The problems are first transformed into the normal form via state augmentation and then solved by utilizing standard results for nonsingular systems. The linear unbiased least-squares state estimation algorithm and the optimal control law for the LQG problem are given. The order of the filtering algorithm obtained in this way is not much increased. Moreover, this algorithm allows the presence of some kinds of control inputs

Keywords

discrete time systems; filtering and prediction theory; least squares approximations; optimal control; state estimation; stochastic systems; LQG problems; discrete time systems; filtering; linear quadratic Gaussian problems; linear unbiased least-squares state estimation; optimal control; singular systems; state augmentation; stochastic systems; Controllability; Discrete transforms; Filtering algorithms; Nonlinear filters; Observability; Optimal control; Polynomials; State estimation; Stochastic processes; Stochastic systems;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.35288

Filename

35288