Sub-optimal Time-variable Feedback Control of Linear Dynamic Systems with Random Inputs†
Author:
- Sven AxsäterSASven Axsäter
- 1 December 1966
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 4 (6) , 549-566
Abstract
The problem considered is that of determining optimal control of a linear system affected by noise and with incomplete information about the actual state when the criterion is quadratic and the control signal is restricted to be a linear transformation of observations. An algorithm for optimization giving monotone convergence is presented and the existence of a solution is proved. A necessary condition is derived with the aid of the algorithm and the question of uniqueness is discussed.Keywords
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