Minimum variance control of discrete — time linear stochastic system, using instantaneous output feedback

  • P. Blanvillain
  • G. Favier
Optimal Control Stochastic
Part of the Lecture Notes in Computer Science book series (LNCS, volume 41)


This paper considers the problem of determining the linear output feedback control which minimizes a quadratic performance index, for a linear, discrete — time stochastic system. Both the finite and infinite — time versions of this problem are solved. For the finite terminal time case, the two-point boundary value problem that specifies the optimal feedback gain matrices is derived, and an algorithm is proposed for solving it. For the infinite-time case, two coupled non linear matrix equations must be solved to realize the optimal control; an algorithm is also proposed for solving those equations. A numerical example is treated comparing this control policy to the optimal Kalman — type control policy.


Output Feedback Linear Stochastic System Optimal Feedback Gain Minimum Variance Control Feedback Gain Matrice 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Berlin Heidelberg 1976

Authors and Affiliations

  • P. Blanvillain
  • G. Favier

There are no affiliations available

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