Optimal Regulation of a Class of Linear Stochastic Systems Relative to Quadratic Criteria†
作者:
P. J. McLANE,
P. W. U. GRAEFE,
期刊:
International Journal of Control
(Taylor Available online 1967)
卷期:
Volume 5,
issue 2
页码: 135-143
ISSN:0020-7179
年代: 1967
DOI:10.1080/00207176708921750
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A method of optimally regulating a class of stochastic linear systems relative to quadratic performance criteria is presented. The class of stochastic systems considered are those whose dynamics are described by an nth order stochastic linear differential equation. The system input is passed through a randomly varying gain. The control function is taken to be unconstrained in magnitude. The stochastic processes treated are increments of Brownian motion and generalized Poisson.
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