Title :
A note on modeling error of linear stochastic systems with a white coefficient
Author :
Ishihara, T. ; Abe, K. ; Takeda, H.
Author_Institution :
Tohoku University, Sendai, Japan
fDate :
6/1/1982 12:00:00 AM
Abstract :
Consider a linear stochastic system with a white coefficient under a quadratic cost. Conditions are given that guarantee the superiority of the optimal controller designed on a model with an erroneous variance of the coefficient over the certainty equivalence controller and the existence of the actual cost for infinite horizon.
Keywords :
Linear quadratic Gaussian (LQG) control; Control systems; Controllability; Cost function; History; Infinite horizon; Optimal control; Performance gain; Steady-state; Stochastic systems; Uncertainty;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1982.1102968
