Accession Number:

AD0671047

Title:

MINIMUM MEAN-SQUARE ERROR STOCHASTIC LINEAR CONTROL,

Descriptive Note:

Corporate Author:

BOEING SCIENTIFIC RESEARCH LABS SEATTLE WASH INFORMATION SCIENCES LAB

Personal Author(s):

• Meditch,J. S.

Report Date:

1968-04-01

Pagination or Media Count:

34.0

Abstract:

Optimal control algorithms are developed for discrete and continuous time stochastic linear dynamical systems for an instantaneous weighted mean-square error performance measure. The derivations are based on well-known results in matrix analysis and the theory of stochastic linear systems. Cases where the system disturbance andor the measurement error processes are each time-correlated are considered, and the original optimal control algorithms are modified to handle such cases. The results are attractive for on-line control applications since they require no precomputation. Stability analysis remains as a problem for future study. Author

Descriptors:

• (*OPTIMIZATION
• *CONTROL SYSTEMS)
• (*INFORMATION THEORY
• STOCHASTIC PROCESSES)
• LINEAR SYSTEMS
• MATRICES(MATHEMATICS)
• STATISTICAL PROCESSES
• FEEDBACK
• STABILITY
• ALGORITHMS
• ERRORS

Subject Categories:

• Operations Research
• Cybernetics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE