Optimal linear stochastic systems with independent controllers

DOI10.1080/00207170310001647010MaRDI QIDQ4474759zbMATH OpenOpenAlexFDO

Authors Nikolai Michalovitch Filatov

Publication date 12 July 2004

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207170310001647010

zbMATH Keywords

certainty equivalence principledisturbanceslinear dynamic multivariate systemseparation principlestate estimation errorstochastic optimal control

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20)

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Cites work

• Dual effect, certainty equivalence, and separation in stochastic control
• Global stabilizability and observability imply semi-global stabilizability by output feedback
• Non-linear output feedback stabilization on a bounded region of attraction
• Optimization of stochastic linear systems with additive measurement and process noise using exponential performance criteria
• Sufficient statistics in the optimum control of stochastic systems

Cited in

(5)

• scientific article; zbMATH DE number 6481331 (Why is no real title available?)
• Optimal Steering of a Linear Stochastic System to a Final Probability Distribution, Part II
• Stability analysis of an optimal linear system with white coefficients: the influence of an incorrect covariance of the coefficients
• Stochastic control of discrete systems: a separation principle for Wiener and polynomial systems
• Optimal controllers not satisfying the separation theorem

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