Title :
Duality between the discrete-time Kalman filter and LQ control law
Author :
Blackmore, Perry A. ; Bitmead, Robert R.
Author_Institution :
Dept. of Eng., Australian Nat. Univ., Canberra, ACT, Australia
fDate :
8/1/1995 12:00:00 AM
Abstract :
In the context of linear quadratic Gaussian (LQG) controller design for single-input, single-output, discrete-time, linear, time-invariant systems, a duality is demonstrated between the Kalman filter design phase and the linear quadratic (LQ) design phase. Furthermore, an asymptotic recovery design procedure is proposed. Through specific Kalman filter design choices, the LQG open-loop transfer function is forced to approach the LQ open-loop transfer function
Keywords :
Kalman filters; control system synthesis; discrete time systems; duality (mathematics); linear quadratic Gaussian control; linear systems; transfer functions; LQ control law; LQ open-loop transfer function; LQG open-loop transfer function; SISO systems; asymptotic recovery design procedure; discrete-time Kalman filter; duality; linear quadratic Gaussian controller design; single-input single-output discrete-time linear time-invariant systems; Adaptive systems; Control systems; Delay; Kalman filters; Open loop systems; Optimal control; Riccati equations; Robustness; Symmetric matrices; Transfer functions;
Journal_Title :
Automatic Control, IEEE Transactions on
