MINIMUM MEAN-SQUARE ERROR STOCHASTIC LINEAR CONTROL,

Abstract

Optimal control algorithms are developed for discrete and continuous time stochastic linear dynamical systems for an 'instantaneous' weighted mean-square error performance measure. The derivations are based on well-known results in matrix analysis and the theory of stochastic linear systems. Cases where the system disturbance and/or the measurement error processes are each time-correlated are considered, and the original optimal control algorithms are modified to handle such cases. The results are attractive for on-line control applications since they require no precomputation. Stability analysis remains as a problem for future study. (Author)

Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1968
Accession Number
AD0671047

Entities

People

  • J. S. Meditch

Organizations

  • Boeing

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Control Systems
  • Linear Systems

Fields of Study

  • Engineering
  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.