Title :
On the optimal control of stochastic linear systems
Author_Institution :
Systems Control, Inc., Palo Alto, CA
fDate :
12/1/1971 12:00:00 AM
Abstract :
The problem of controlling stochastic linear systems with quadratic criteria is considered. It is proved that the optimal control law can be realized by the cascade of a Kalman filter and a linear feedback. The importance of different assumptions required in this proof is discussed in detail. This discussion provides some motivation for different extension results.
Keywords :
Linear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Control systems; Feedback; Gaussian processes; Linear systems; Maximum likelihood detection; Optimal control; Stochastic processes; Stochastic resonance; Stochastic systems; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1971.1099840
