Title :
Output feedback gains for a linear discrete stochastic control problem
Author :
Ermer, Charles ; Vandelinde, V.
Author_Institution :
Bell Telephone Laboratories, Holmdel, New Jersey
Abstract :
For the finite-horizon linear discrete quadratic stochastic control problem the control is restricted to be a memoryless linear transformation of the measurement. The two point boundary value problem that specifies the feedback gain matrices is derived and an algorithm for solving it given. An example is solved comparing the cost of the suboptimal control to the optimal control.
Keywords :
Additive noise; Boundary value problems; Covariance matrix; Equations; Gain; Linear feedback control systems; Noise measurement; Optimal control; Output feedback; Stochastic processes;
Conference_Titel :
Decision and Control, 1972 and 11th Symposium on Adaptive Processes. Proceedings of the 1972 IEEE Conference on
Conference_Location :
New Orleans, Louisiana, USA
DOI :
10.1109/CDC.1972.269071
