ON OPTIMIZATION OF STOCHASTIC LINEAR SYSTEMS WITH TIME DELAY
PURDUE UNIV LAFAYETTE IN SCHOOL OF ELECTRICAL ENGINEERING
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For linear stochastic systems with time delay, the optimal control is derived that minimizes the ensemble average of a quadratic in states and control performance measure. The optimal control obtained is functionally dependent upon the expected values of the state variables conditioned on the measurements. It is shown that the optimal control and estimation can be performed independently i.e., the separation theorem holds for the class of problems considered. The optimal control is linearly dependent upon the best estimates which minimize the expected value of the estimation error squared.
- Statistics and Probability