Optimality of locally optimal solutions of linear-quadratic control and filtering problems (Q1319743): Difference between revisions
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Revision as of 09:53, 12 February 2024
scientific article
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| English | Optimality of locally optimal solutions of linear-quadratic control and filtering problems |
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Optimality of locally optimal solutions of linear-quadratic control and filtering problems (English)
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8 May 1994
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Consider an inverse problem for the algebraic Riccati equation. A necessary and sufficient condition for the existence of a solution is given. Some relations between locally optimal and optimal controls and filters for linear discrete stochastic systems are proved.
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algebraic Riccati equation
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filters
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linear discrete stochastic systems
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