On the design of discrete-time optimal dynamical controllers using a minimal-order observer

Abstract

This paper considers the problem of designing optimal dynamical observer-based controllers for discrete-time linear time-invariant systems with inaccessible state. It is assumed that the initial state is an unknown random vector with known mean and covariance. The performance index is taken to be the expectation, with respect to the initial state, of the standard quadratic one for the discrete-time regulator.