Sub-optimal Time-variable Feedback Control of Linear Dynamic Systems with Random Inputs†

Abstract

The problem considered is that of determining optimal control of a linear system affected by noise and with incomplete information about the actual state when the criterion is quadratic and the control signal is restricted to be a linear transformation of observations. An algorithm for optimization giving monotone convergence is presented and the existence of a solution is proved. A necessary condition is derived with the aid of the algorithm and the question of uniqueness is discussed.