AN INNOVATIONS APPROACH TO OPTIMAL CONTROL OF LINEAR STOCHASTIC SYSTEMS WITH TIME DELAY

被引：5

作者：

LINDQUIST, A

机构：

[1] The Institute for Optimization, Systems Theory The Royal Institute of Technology, Stockholm

来源：

INFORMATION SCIENCES | 1969年 / 1卷 / 03期

关键词：

D O I：

10.1016/S0020-0255(69)80014-9

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper presents the basic ideas of a proof of the separation theorem of stochastic control generalized to include delayed time arguments in the cost functional. The approach is based on the methods and results of least squares estimation due to Kailath. Thus the class of admissible controls is the class of stochastic integrals ∝0t F(t,s)dv(s), where ν(t) is the innovations process. © 1969 American Elsevier Publishing Company, Inc.

引用

页码：279 / +

页数：1

共 10 条

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Doob J. L., 1953, STOCHASTIC PROCESSES

[2]

KAILATH T, 1968, 705013 STANF U SYST

[3]

KAILATH T, 1968, MATHEMATICAL MODELIN

[4]

Lee EB., 1967, FDN OPTIMAL CONTROL

[5] ON OPTIMAL STOCHASTIC CONTROL WITH SMOOTHED INFORMATION [J].

LINDQUIST, A .

INFORMATION SCIENCES, 1968, 1 (01) :55-+

[6]

POTTER JE, 1964, RE11 MASS I TECHN EX

[7]

WONHAM WM, 1967, 672 BROWN U CENT DYN

[8]

WONHAM WM, 1968, PM38 NASA EL RES CEN

[9]

ZACHRISSON LE, 1968, R23 IOS I OPT SYST T

[10]

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