Asynchronous LQG control and filtering and its relation to Kalman-Bucy filters

Author

Aripirala, Ravi ; Syrmos, Vassilis L.

Author_Institution

Dept. of Electr. Eng., Hawaii Univ., Honolulu, HI, USA

Volume

4

fYear

1996

fDate

11-13 Dec 1996

Firstpage

3648

Abstract

The problem of H₂ optimization for sampled-data systems with asynchronous sample and hold devices with partial state information is considered in this paper. A linear minimum mean squared error filter is derived for a linear system with asynchronous samples and is used for H₂ optimization with output feedback. The asynchronous noise to the system is modeled as a Poisson driven Markov process. A energy characterization is used to derive a filter. Its relation to the standard Kalman-Bucy filters for white Gaussian noise is studied

Keywords

H^∞ optimisation; Kalman filters; Markov processes; feedback; filtering theory; least mean squares methods; linear quadratic Gaussian control; noise; sampled data systems; stochastic processes; H₂ optimization; Kalman-Bucy filters; Poisson driven Markov process; asynchronous LQG control; asynchronous noise; asynchronous sample-and-hold devices; energy characterization; linear minimum mean squared error filter; linear system; output feedback; partial state information; sampled-data systems; white Gaussian noise; Control system synthesis; Differential equations; Filtering; Gaussian noise; Kalman filters; Linear systems; Nonlinear filters; Sampling methods; Stochastic processes; Wiener filter;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1996., Proceedings of the 35th IEEE Conference on

Conference_Location

Kobe

ISSN

0191-2216

Print_ISBN

0-7803-3590-2

Type

conf

DOI

10.1109/CDC.1996.577187

Filename

577187