AN ALGORITHM FOR DISCRETE-TIME STOCHASTIC OPTIMAL LINEAR CONTROL.

Abstract

A forward-time-recursive algorithm for the optimal control of discrete-time stochastic linear systems is developed. The procedure which is employed to develop the algorithm consists in utilizing the Kalman filter to obtain the optimal estimate of the system's error and then determining the time-varying feedback control gain matrix to minimize the weighted mean-square error at each time. The resulting algorithm can be readily implemented with a digital computer. The presentation is concluded with a discussion of the advantages, disadvantages, properties, and possible extensions of the results. (Author)

Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1968
Accession Number
AD0665719

Entities

People

  • J. S. Meditch

Organizations

  • Boeing

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Computers
  • Computing Devices
  • Digital Computers
  • Estimators
  • Feedback
  • Filters
  • Kalman Filters
  • Linear Systems
  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Systems Analysis and Design