• DocumentCode
    830109
  • Title

    Sensitivity analysis of process variables for linear quadratic stochastic control systems

  • Author

    Miyamoto, Y. ; Chang, K.S.

  • Author_Institution
    University of Waterloo, Watereloo, Canada
  • Volume
    24
  • Issue
    4
  • fYear
    1979
  • fDate
    8/1/1979 12:00:00 AM
  • Firstpage
    660
  • Lastpage
    661
  • Abstract
    Trajectory sensitivity analysis of optimal control systems for discrete time-invariant linear quadratic stochastic processes is presented. Sensitivity matrices of the means and the variances of process variables are derived. The derivation is based on the method of the discrete adjoint system.
  • Keywords
    Linear systems, stochastic discrete-time; Optimal stochastic control; Sensitivity analysis; Stochastic optimal control; Control system synthesis; Control systems; Costs; Covariance matrix; Equations; Optimal control; Performance analysis; Sensitivity analysis; Stochastic systems; Vectors;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1979.1102107
  • Filename
    1102107
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=830109