Optimization of Linear Stochastic Systems Described by Functional Differential Equations,
Abstract
In the first part, the optimal control is determined for linear stochastic systems described by functional differential equations by assuming that the feedback loop consists of an estimator and a controller. Their gain matrices are determined by minimizing the mean squared estimation error and the average of a quadratic functional. In the second part, the details for the design of the optimal unbiased estimator is presented. The minimization is performed by applying the matrix maximum principle. Examples illustrate the approach. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Oct 01, 1970
- Accession Number
- AD0715278
Entities
People
- A. J. Koivo
Organizations
- Purdue University