
Accession Number : AD0708480
Title : PROBLEMS OF SINGULARITY AND DUALITY IN LINEAR ESTIMATION AND CONTROL.
Descriptive Note : Doctoral thesis,
Corporate Author : CALIFORNIA UNIV LOS ANGELES SCHOOL OF ENGINEERING AND APPLIED SCIENCE
Personal Author(s) : Simon,Kurt William
Report Date : APR 1970
Pagination or Media Count : 77
Abstract : Results in the estimation of the state of linear systems in the presence of GaussMarkov noise processes are examined and a new proof is provided for these results. The results are then extended in several directions, namely: to continuoustime filtering of systems with measurements corrupted by noise with noninvertible covariance matrix; to optimal control problems whose cost is not a positivedefinite function of the control; and to discretetime colorednoise filtering problems. The extension to optimal control is accomplished by exploiting the duality of linear estimation and control, which is derived from duality concepts in mathematical programming. The extension to discretetime filtering is further extended to provide a useful method of reducing the number of simultaneous equations required by the usual whitenoise, discretetime Kalman filter. (Author)
Descriptors : (*CONTROL SYSTEMS, MATHEMATICAL MODELS), MATHEMATICAL PREDICTION, MATHEMATICAL PROGRAMMING, CALCULUS OF VARIATIONS, STOCHASTIC PROCESSES, LINEAR SYSTEMS, TRACKING, THEOREMS, THESES
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE