Distribution of terminal cost functional in continuous-time controlled system with noise-corrupted state information

Author

Shinar, Josef ; Glizer, Valery Y. ; Turetsky, Vladimir

Author_Institution

Fac. of Aerosp. Eng., Technion - Israel Inst. of Technol., Haifa, Israel

fYear

2012

fDate

14-17 Nov. 2012

Firstpage

1

Lastpage

5

Abstract

In order to obtain the cumulative distribution function of the terminal cost in a scalar linear continuous-time system with noise corrupted measurements a first-order partial differential equation is derived. The system is subject to a linear saturated control strategy. The probability density function of the initial state and the history of the probability density function of the estimator error are assumed to be known. An illustrative numerical example is presented.

Keywords

continuous time systems; error statistics; linear systems; noise measurement; partial differential equations; statistical distributions; cumulative distribution function; estimator error; linear saturated control strategy; noise corrupted measurement; partial differential equation; probability density function; scalar linear continuous time system; terminal cost; Educational institutions; Estimation; Mathematical model; Noise; Noise measurement; Robustness;

fLanguage

English

Publisher

ieee

Conference_Titel

Electrical & Electronics Engineers in Israel (IEEEI), 2012 IEEE 27th Convention of

Conference_Location

Eilat

Print_ISBN

978-1-4673-4682-5

Type

conf

DOI

10.1109/EEEI.2012.6377008

Filename

6377008