Algorithm for real-time optimization of incompletely determined linear control systems. I: Indefinite initial state (Q1324030): Difference between revisions

The authors treat an optimal control problem for a linear time-invariant system with state constraints in which the initial state is unknown but assumed random with a known distribution. Information about the system is provided by an observation consisting of a linear transformation of the state corrupted by noise. An algorithm for constructing the feedback controller based on nonlinear programming techniques is developed. An illustrative example is provided.