Accession Number : AD0718435

Title :   On the Separation Theorem for Linear Systems, Quadratic Criteria and Correlated Noise,

Corporate Author : MASSACHUSETTS INST OF TECH CAMBRIDGE ELECTRONIC SYSTEMS LAB

Personal Author(s) : Bertsekas,Dimitri P.

Report Date : OCT 1970

Pagination or Media Count : 26

Abstract : The paper is concerned with the extension of the well known separation theorem for linear systems and quadratic criteria to the case where the input and observation disturbance vectors are correlated. The problem is treated without the usual assumption of sequential correlation for these disturbance vectors, which allows one to use state augmentation techniques. It is shown that the optimal controller can be separated into an estimator and an actuator. The structure of the estimator is further investigated and schemes that can be practically implemented are derived for some cases of interest. (Author)

Descriptors :   (*CONTROL SYSTEMS, MATHEMATICAL MODELS), STOCHASTIC PROCESSES, PROBABILITY DENSITY FUNCTIONS, LINEAR SYSTEMS, WHITE NOISE, INFORMATION THEORY, SET THEORY, MATRICES(MATHEMATICS)

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE