Accession Number : AD0671047

Title :   MINIMUM MEAN-SQUARE ERROR STOCHASTIC LINEAR CONTROL,

Corporate Author : BOEING SCIENTIFIC RESEARCH LABS SEATTLE WASH INFORMATION SCIENCES LAB

Personal Author(s) : Meditch,J. S.

Report Date : APR 1968

Pagination or Media Count : 34

Abstract : Optimal control algorithms are developed for discrete and continuous time stochastic linear dynamical systems for an 'instantaneous' weighted mean-square error performance measure. The derivations are based on well-known results in matrix analysis and the theory of stochastic linear systems. Cases where the system disturbance and/or the measurement error processes are each time-correlated are considered, and the original optimal control algorithms are modified to handle such cases. The results are attractive for on-line control applications since they require no precomputation. Stability analysis remains as a problem for future study. (Author)

Descriptors :   (*OPTIMIZATION, *CONTROL SYSTEMS), (*INFORMATION THEORY, STOCHASTIC PROCESSES), LINEAR SYSTEMS, MATRICES(MATHEMATICS), STATISTICAL PROCESSES, FEEDBACK, STABILITY, ALGORITHMS, ERRORS

Subject Categories : Operations Research
      Cybernetics

Distribution Statement : APPROVED FOR PUBLIC RELEASE