Accession Number : AD0665719
Title : AN ALGORITHM FOR DISCRETE-TIME STOCHASTIC OPTIMAL LINEAR CONTROL.
Descriptive Note : Information sciences rept. no. 11,
Corporate Author : BOEING SCIENTIFIC RESEARCH LABS SEATTLE WASH INFORMATION SCIENCES LAB
Personal Author(s) : Meditch,J. S.
Report Date : JAN 1968
Pagination or Media Count : 26
Abstract : A forward-time-recursive algorithm for the optimal control of discrete-time stochastic linear systems is developed. The procedure which is employed to develop the algorithm consists in utilizing the Kalman filter to obtain the optimal estimate of the system's error and then determining the time-varying feedback control gain matrix to minimize the weighted mean-square error at each time. The resulting algorithm can be readily implemented with a digital computer. The presentation is concluded with a discussion of the advantages, disadvantages, properties, and possible extensions of the results. (Author)
Descriptors : (*LINEAR SYSTEMS, OPTIMIZATION), FEEDBACK, ALGORITHMS, SERVOMECHANISMS, AUTOMATION, STOCHASTIC PROCESSES, PERFORMANCE(ENGINEERING), MATHEMATICAL ANALYSIS
Subject Categories : Operations Research
Distribution Statement : APPROVED FOR PUBLIC RELEASE