DocumentCode
807270
Title
On the optimal control of stochastic linear systems
Author
Tse, Edison
Author_Institution
Systems Control, Inc., Palo Alto, CA
Volume
16
Issue
6
fYear
1971
fDate
12/1/1971 12:00:00 AM
Firstpage
776
Lastpage
785
Abstract
The problem of controlling stochastic linear systems with quadratic criteria is considered. It is proved that the optimal control law can be realized by the cascade of a Kalman filter and a linear feedback. The importance of different assumptions required in this proof is discussed in detail. This discussion provides some motivation for different extension results.
Keywords
Linear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Control systems; Feedback; Gaussian processes; Linear systems; Maximum likelihood detection; Optimal control; Stochastic processes; Stochastic resonance; Stochastic systems; Vectors;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1971.1099840
Filename
1099840
Link To Document