Optimal Output Feedback Control of Linear Systems in Presence of Forcing and Measurement Noise.
NATIONAL AERONAUTICS AND SPACE ADMINISTRATION HAMPTON VA LANGLEY RESEARCH CENTER
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This paper considers the problem of obtaining an optimal control law, which is constrained to be a linear feedback of the available measurements, for both continuous and discrete time linear systems subjected to additive white process noise and measurement noise. Necessary conditions are obtained for minimizing a quadratic performance function for both finite and infinite terminal time cases. The feedback gains are constrained to be time invariant for the infinite terminal time cases. For all the cases considered, algorithms are derived for generating sequences of feedback gain matrices which successively improve the performance function. A continuous time numerical example is included for the purpose of demonstration. Optimal control, Output feedback, Stochastic control, Star category 10.