Stochastic control of discrete systems: a separation principle for Wiener and polynomial systems

Author

Grimble, M.J.

Author_Institution

Ind. Control Centre, Strathclyde Univ., Glasgow, UK

Volume

44

Issue

11

fYear

1999

fDate

11/1/1999 12:00:00 AM

Firstpage

2125

Lastpage

2130

Abstract

A new separation principle is established for systems represented in discrete frequency-domain Wiener or polynomial forms. The LQG or H ₂ optimal controller can be realized using an observer based structure estimating noise free output variables that are fed back through a dynamic gain control block. Surprisingly, there are also two separation principle theorems, depending upon the order in which the ideal output optimal control and the optimal observer problems are solved

Keywords

H^∞ control; discrete systems; linear quadratic Gaussian control; observers; polynomials; stochastic systems; H₂ optimal controller; LQG optimal controller; Wiener systems; discrete frequency-domain systems; discrete systems; dynamic gain control block; feedback; noise free output variables; observer based structure; optimal observer; output optimal control; polynomial systems; separation principle; stochastic control; Control system synthesis; Control systems; Convergence; Differential equations; Optimal control; Parameter estimation; Polynomials; Sampling methods; Stochastic systems; System testing;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.802929

Filename

802929