Accession Number : AD0715278

Title :   Optimization of Linear Stochastic Systems Described by Functional Differential Equations,

Corporate Author : PURDUE UNIV LAFAYETTE IND SCHOOL OF ELECTRICAL ENGINEERING

Personal Author(s) : Koivo,A. J.

Report Date : OCT 1970

Pagination or Media Count : 38

Abstract : In the first part, the optimal control is determined for linear stochastic systems described by functional differential equations by assuming that the feedback loop consists of an estimator and a controller. Their gain matrices are determined by minimizing the mean squared estimation error and the average of a quadratic functional. In the second part, the details for the design of the optimal unbiased estimator is presented. The minimization is performed by applying the matrix maximum principle. Examples illustrate the approach. (Author)

Descriptors :   (*CONTROL SYSTEMS, MATHEMATICAL MODELS), (*STOCHASTIC PROCESSES, DIFFERENTIAL EQUATIONS), MATRICES(MATHEMATICS), SET THEORY, PARTIAL DIFFERENTIAL EQUATIONS, FEEDBACK, OPTIMIZATION, LINEAR SYSTEMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE