Title :
Cost function calculation for stationary, linear-quadratic systems with colored noise
Author_Institution :
Dept. of Aerosp. Eng., San Diego State Univ., CA, USA
fDate :
11/1/1992 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
