Title :
Optimal linear stochastic control for systems with multiplicative noise
Author :
Bagchi, Arunabha ; Schilperoort, Tom
Author_Institution :
University of Twente, Enschede, The Netherlands
fDate :
10/1/1980 12:00:00 AM
Abstract :
The stochastic control problem of a linear dynamical system with multiplicative noise and with incomplete and inaccurate observation, has been studied for quadratic performance criterion. A suboptimal solution, which is the best linear control based on the available observations, has been worked out when the observations are given only at discrete-time points.
Keywords :
Linear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Control systems; Differential equations; Laboratories; Mathematics; Matrix converters; Motion control; Optimal control; Partial differential equations; Stochastic resonance; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1980.1102479
