Title :
Relationship between Box-Jenkins-Ã\x85ström control and Kalman linear regulator
Author_Institution :
University of Manchester Institute of Science & Technology, Department of Mathematics & Control Systems Centre, Manchester, UK
fDate :
5/1/1972 12:00:00 AM
Abstract :
The Box-Jenkins-Åström minimum-variance control law for univariate linear stochastic systems is summarised. A minimum-expected-quadratic-loss feedback control law for the same system is derived using state-space theory. Subject to conditions sufficient for the control laws to exist, both theories are shown to give the same result in the 1-step-ahead (unit-delay) case. The more general case is discussed.
Keywords :
Kalman filters; control system analysis; linear systems; state-space methods; stochastic systems; Box/Jenkins/Astrom control; Kalman linear regulator; minimum expected quadratic loss feedback control law; state space methods; unvariate linear stochastic systems;
Journal_Title :
Electrical Engineers, Proceedings of the Institution of
DOI :
10.1049/piee.1972.0131
