Optimization of Stochastic Linear Systems with Additive Measurement and Process Noise Using Exponential Performance Criteria

IEEE Transactions on Automatic Control

Volumn 19, Issue 4, 1974, Pages 358-366

  Speyer, Jason L ^a   Deyst, John ^b   Jacobson, David H ^c  

^a CHARLES STARK DRAPER LABORATORY   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^c UNIVERSITY OF THE WITWATERSRAND   (South Africa)

Author keywords

[No Author keywords available]

Indexed keywords

STOCHASTIC CONTROL;

CONTROL SYSTEMS, OPTIMAL;

EID: 0016094244     PISSN: 00189286     EISSN: 15582523     Source Type: Journal    
DOI: 10.1109/TAC.1974.1100606     Document Type: Article

References (12)

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3. W. M. Wonham, “On the separation theorem of stochastic control,” SIAM J. Contr., vol. 6, no. 2, 1968.
4. II. S. Witsenhausen, “Separation of estimation and control for discrete time systems,” Proc. IEEE, vol. 59, pp. 1557-1566, Nov., 1971.
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6. J. J. Deyst, “Optimal control in the presence of measurement uncertainties,” Sc.D. thesis, Mass. Inst. Teehnol., Cambridge, Mass., 1967.
7. C. Striebel, “Sufficient statistics in the optimum control of stochastic systems,” J. Math. Anal. Appl., vol. 12, 1965.
8. E. Wong, Stochastic Processes in Information and Dynamical Systems. New York: McGraw-Hill, 1971.
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10. R. Brockett, Finite Dimensional Linear Systems. New York: Wiley, 1970.
11. L. Meier, III R. E. Lawson, and A. J. Tether, “Dynamic programming for stochastic control of discrete systems,” IEEE Trans. Automat. Contr. (Special Issue on Linear-Quadratic-Gaussian Problem), vol. AC-16, pp. 767-775, Dec. 1971.
12. R. E. Kalman and R. S. Bucy, New results in linear filtering and prediction theory,” Trans. ASME (J. Basic Eng.). vol. 83, pp. 95–107, Dec. 1961.