摘要:

We consider the optimal-control problem with time-homogeneous linear (and in general non-Markov) dynamics and risk-sensitive criterion. Appeal to the extremal principle prescribed by the risk-sensitive certainty equivalence principle (RSCEP) yields a symmetric equation system, indicating that the extended hamiltonian formulation generalizes naturally to the risk-sensitive case. The conjugate variable of a hamiltonian formulation now has an interpretation in terms of forecasted process noise, and the RSCEP in fact provides a stochastic maximum principle for which all variables have a clear interpretation and the desired measurability properties. In the infinite-horizon case (meaningful under generalized controllability conditions) optimal control is determined explicitly in terms of a canonical factorization. For the case of imperfect process observation, the RSCEP leads to coupled-equation systems that can again be solved in terms of canonical factorizations in the time-invariant (stationary) case.

ISSN:0020-7179    

DOI:10.1080/00207178608933445

出版商:Taylor & Francis Group    

年代:1986

数据来源: Taylor

摘要:

A Monte Carlo analysis of the accuracy properties of least-squares (LS), Yule-Walker (YW), and overdetermined Yule-Walker (OYW) methods for estimating the parameters of autoregressive (AR) processes is presented. Comparisons of the estimated finite-sample accuracy to the theoretical asymptotic accuracy are included. It is shown that considerable differences may occur in some cases. Choice of the number of equations in the YW system of equations is discussed. Some remarks concerning the feasiblity and usefulness of an analytical study of the finite-sample accuracy properties are also included.

ISSN:0020-7179    

DOI:10.1080/00207178608933446

出版商:Taylor & Francis Group    

年代:1986

数据来源: Taylor

摘要:

The Fourier transform of the logarithm of spectral density is a useful tool for spectral analysis of random signals which are highly resonant. This is because the logarithm compresses the large peaks of the spectrum and a resulting power series expansion (kepstrum) can be truncated at a suitable length to suppress the higher frequencies. This paper utilizes the FFT in a similar form in order to obtain spectral smoothing. Several examples show the advantages of the method including an analysis on the pitch and roll data of a container ship. It is also shown how a smooth frequency response (Bode plot) can be found to identify the signal generating process. This technique is extended to systems with signal plus noise and the identification then becomes equivalent to spectral factorization, a technique particularly useful in the determi nation of Kalman filters.

ISSN:0020-7179    

DOI:10.1080/00207178608933447

出版商:Taylor & Francis Group    

年代:1986

数据来源: Taylor

摘要:

It is shown that every module of every finite-dimensional associative algebra is associated with the state space of some class of symmetric systems. The general structure of symmetric systems is investigated.

ISSN:0020-7179    

DOI:10.1080/00207178608933448

出版商:Taylor & Francis Group    

年代:1986

数据来源: Taylor

摘要:

A method of solving a class of linear matrix equations over various rings is proposed, using results from linear geometric control theory. An algorithm, successfully implemented, is presented, along with non-trivial numerical examples. Applications of the method to the algebraic control system design methodology are discussed.

ISSN:0020-7179    

DOI:10.1080/00207178608933449

出版商:Taylor & Francis Group    

年代:1986

数据来源: Taylor

摘要:

Conditioned invariant subspaces are introduced both in terms of output injection and in terms of state estimation. Various properties of these subspaces are explored and the problem of disturbance decoupling by output injection (OIP) is defined. It is then shown that OIP is equivalent to the problem of disturbance decoupled estimation as introduced in Willems (1982) and Willems and Commault (1980). Both solvability conditions and a description of solutions for a class of rational matrix equations of the formX(s)M(s)=Q(s)on several ways are given in state-space form. Finally, the problem of output stabilization with respect to a disturbance is briefly addressed.

ISSN:0020-7179    

DOI:10.1080/00207178608933450

出版商:Taylor & Francis Group    

年代:1986

数据来源: Taylor

摘要:

In this paper we study a large class of neutral systems containing the class of retarded systems. A necessary and sufficient condition is given for the existence of a finite-dimensional compensator achieving exponential stability.

ISSN:0020-7179    

DOI:10.1080/00207178608933451

出版商:Taylor & Francis Group    

年代:1986

数据来源: Taylor

摘要:

Application of the Laguerre polynomial expansion to the analysis of a linear optimal control system incorporating observers is studied. The method simplifies the system of equations into the successive solution of a set of linear algebraic recursive equations. Compared with other orthogonal polynomials, the present method is simpler in form and more convenient for use with a digital computer. A numerical example is given to illustrate the use of this method.

ISSN:0020-7179    

DOI:10.1080/00207178608933452

出版商:Taylor & Francis Group    

年代:1986

数据来源: Taylor

摘要:

Shifted Chebyshev series are developed in this study to analyse and identify time-varying bilinear systems. Effective computational formulations, which are very straightforward and convenient for digital computations, are achieved. Consequently, the computational difficulty can be remarkably reduced. Two illustrative examples are given to demonstrate the superiority of the presently proposed method.

ISSN:0020-7179    

DOI:10.1080/00207178608933453

出版商:Taylor & Francis Group    

年代:1986

数据来源: Taylor

摘要:

Algorithms for the analysis and identification of non-linear delay systems described by a Hammerstein model, which consists of a single-value non-linearity followed by a linear time-delayed plant, are presented. By using the finite-dimensional block-pulse expansion, the solution of a Hammerstein model non-linear dynamic system with time delay is reduced to the solution of a set of linear algebraic equations. In addition, through the block-pulse expansions of the measured input-output data, parameters of both the linear time-delayed plant and the polynomial approximation of the non-linear gain are estimated using the least-squares method. Examples are given to illustrate the utility of this method.

ISSN:0020-7179    

DOI:10.1080/00207178608933454

出版商:Taylor & Francis Group    

年代:1986

数据来源: Taylor