Title :
Exact decomposition of the algebraic Riccati equations of deterministic and stochastic multimodeling optimal control and filtering problems
Author :
Coumarbatch, Cyril ; Gajic, Zoran
Author_Institution :
Dept. of Math., Rutgers Univ., New Brunswick, NJ, USA
Abstract :
We show how to exactly decompose the algebraic Riccati equations of deterministic and stochastic multimodeling in terms of one pure-slow and two pure-fast algebraic Riccati equations. In addition, we show how to completely decompose the optimal Kalman filter of the multimodeling structures in terms of pure-slow and pure-fast well-defined reduced-order, independent Kalman filters
Keywords :
Kalman filters; Riccati equations; algebra; filtering theory; optimal control; stochastic systems; algebraic Riccati equations; deterministic multimodeling filtering problems; deterministic multimodeling optimal control; exact decomposition; stochastic multimodeling filtering problems; stochastic multimodeling optimal control; Filtering; Large-scale systems; Mathematics; Optimal control; Power system dynamics; Power system interconnection; RNA; Riccati equations; Stochastic processes; Vehicle dynamics;
Conference_Titel :
American Control Conference, 1999. Proceedings of the 1999
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4990-3
DOI :
10.1109/ACC.1999.782372
