Optimal control for linear continuous-time systems with general noises based upon sampled data
作者:
SATORU FUJISHlGE,
YOSHIKAZU SAWARAGl,
期刊:
International Journal of Systems Science
(Taylor Available online 1975)
卷期:
Volume 6,
issue 12
页码: 1111-1118
ISSN:0020-7721
年代: 1975
DOI:10.1080/00207727508941890
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This paper is concerned with the optimal control problem for continuous-time systems with general noises, based upon sampled data, under the quadratic cost functional. The system is described by a linear stochastic integral equation, the observations are made at discrete times, and the noise processes are not assumed zero-moan Gaussian and/or white. Derived is the optimal controller algorithm, where the optimal input consists of the following two: (1) the optimal input for usual linear-quadratic-Gaussian control systems and (2) its correction input due to the fact that the noise processes arc non-white and have non-zero means.
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