Title :
Output feedback gains for a linear-discrete stochastic control problem
Author :
Ermer, Charles M. ; Vandelinde, V. David
Author_Institution :
Johns Hopkins University, Baltimore, MD, USA
fDate :
4/1/1973 12:00:00 AM
Abstract :
For the finite-horizon linear-discrete quadratic stochastic control problem, the control is restricted to be a memoryless linear transformation of the measurement. The two-point boundary value problem that specifies the feedback gain matrices is derived, and an algorithm for solving it is given. An example is solved comparing the cost of the suboptimal control to the optimal control.
Keywords :
Linear systems, stochastic discrete-time; Optimal stochastic control; Stochastic optimal control; Suboptimal control; Digital simulation; Displays; Kalman filters; Linear feedback control systems; Maximum likelihood detection; Output feedback; Performance analysis; State estimation; Stochastic processes; Stochastic resonance;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1973.1100252
