Title :
Sensitivity analysis of process variables for linear quadratic stochastic control systems
Author :
Miyamoto, Y. ; Chang, K.S.
Author_Institution :
University of Waterloo, Watereloo, Canada
fDate :
8/1/1979 12:00:00 AM
Abstract :
Trajectory sensitivity analysis of optimal control systems for discrete time-invariant linear quadratic stochastic processes is presented. Sensitivity matrices of the means and the variances of process variables are derived. The derivation is based on the method of the discrete adjoint system.
Keywords :
Linear systems, stochastic discrete-time; Optimal stochastic control; Sensitivity analysis; Stochastic optimal control; Control system synthesis; Control systems; Costs; Covariance matrix; Equations; Optimal control; Performance analysis; Sensitivity analysis; Stochastic systems; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1979.1102107
