On the Separation Theorem for Linear Systems, Quadratic Criteria and Correlated Noise,
Abstract
The paper is concerned with the extension of the well known separation theorem for linear systems and quadratic criteria to the case where the input and observation disturbance vectors are correlated. The problem is treated without the usual assumption of sequential correlation for these disturbance vectors, which allows one to use state augmentation techniques. It is shown that the optimal controller can be separated into an estimator and an actuator. The structure of the estimator is further investigated and schemes that can be practically implemented are derived for some cases of interest. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Oct 01, 1970
- Accession Number
- AD0718435
Entities
People
- Dimitri P. Bertsekas
Organizations
- Massachusetts Institute of Technology