Title :
Analysis of cost sensitivity for linear-quadratic stochastic problems with instantaneous output feedback
Author :
Kurtaran, Ben-Zion ; Sidar, Menachem
Author_Institution :
Technion--Israel Institute of Technology, Haifa, Israel
fDate :
10/1/1974 12:00:00 AM
Abstract :
Problems of sensitivity of the optimal performance of linear-quadratic stochastic systems with instantaneous output feedback is studied. Optimal-cost sensitivity matrices are derived. Once the optimization problem is solved, no special computations are required to obtain the sensitivity matrices.
Keywords :
Linear systems, stochastic continuous-time; Optimal stochastic control; Output feedback; Sensitivity analysis; Stochastic optimal control; Automatic control; Cost function; Differential equations; Frequency domain analysis; Output feedback; Performance analysis; Stochastic processes; Stochastic systems; Vectors; Vehicles;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1974.1100665
