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
fDate :
12/1/1969 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1969.1099303
