DocumentCode
808321
Title
Cost function calculation for stationary, linear-quadratic systems with colored noise
Author
Narkis, Yahli
Author_Institution
Dept. of Aerosp. Eng., San Diego State Univ., CA, USA
Volume
37
Issue
11
fYear
1992
fDate
11/1/1992 12:00:00 AM
Firstpage
1772
Lastpage
1774
Abstract
A relation is developed for direct calculation of the cost function for an optimally controlled linear system with quadratic criteria, distributed by a colored noise of any given spectral density distribution
Keywords
linear systems; noise; optimal control; colored noise; cost function; optimal control; optimally controlled linear system; quadratic criteria; stationary linear quadratic systems; Aerodynamics; Colored noise; Control systems; Cost function; Force measurement; Linear systems; Optimal control; Riccati equations; Stochastic systems; White noise;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.173148
Filename
173148
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