Optimal instantaneous output-feedback controllers for linear stochastic systems
- 1 April 1974
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 19 (4), 797-816
- https://doi.org/10.1080/00207177408932674
Abstract
The problem of determining a linear feedback control that depends only on the instantaneous value of the system output is solved for a class of linear stochastic; systems with quadratic cost criterion. For the finite time (steady-state) version it is shown that a two-point boundary-value problem (two non-linear algebraic equations) must be solved to implement the optimal control. The iterative methods to solve the above equations are briefly reviewed. A number of examples solved on a digital computer are included in the paper.Keywords
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