Minimal representation of matrix valued white stochastic processes and U–D factorisation of algorithms for optimal control

DOI10.1080/00207179.2012.725866zbMath1278.93294OpenAlexW2018652996MaRDI QIDQ2871714

Willem L. de Koning, L. Gerard Van Willigenburg

Publication date: 9 January 2014

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

Full work available at URL: https://doi.org/10.1080/00207179.2012.725866

zbMATH Keywords

multiplicative white noiseminimal representationstochastic parametersoptimal compensationUDU factorisationcompensatabilitymatrix valued white stochastic processes

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03)

Related Items (1)

U-D factorisation of the strengthened discrete-time optimal projection equations

Cites Work

• Infinite horizon optimal control of linear discrete time systems with stochastic parameters
• Optimal control of LTI systems over unreliable communication links
• UDU factored discrete-time Lyapunov recursions solve optimal reduced-order LQG problems
• Approximate models for continuous-time linear systems with sampling jitter
• The influence of uncertainty on stability and compensatability
• Compensatability and optimal compensation of systems with white parameters
• Optimal projection equations for discrete-time fixed-order dynamic compensation of linear systems with multiplicative white noise

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