Title :
On the relationship between minimum variance and minimum quadratic loss controllers
Author_Institution :
Warwick Univ., Coventry, UK
Abstract :
In the context of univariate, discrete-time, stochastic systems, the optimal polynomial based controller, in the sense of minimum output signal variance, is considered in a state-space framework. A noise-free measurement state-space model is employed in order to represent a CARMA model, and it is shown that by coupling an optimal state estimate with optimal state feedback parameters, so the minimum quadratic loss controller can be regarded as equivalent to minimum variance control. It is also shown how the optimal innovations model state estimate is not that employed in an optimal state feedback controller, a result that questions usage of the term `optimal controller´ where an innovations form of state-space model is concerned
Keywords :
State estimation; discrete time systems; feedback; optimal control; state estimation; state-space methods; stochastic systems; CARMA model; discrete time systems; minimum output signal variance; minimum quadratic loss controllers; minimum variance control; optimal state estimate; optimal state feedback; state-space model; stochastic systems;
Conference_Titel :
Control, 1988. CONTROL 88., International Conference on
Conference_Location :
Oxford
Print_ISBN :
0-85296-360-2