Accession Number : AD0737139

Title :   Linear Stochastic Optimal Control under Information Rate Constraints,

Corporate Author : CALIFORNIA UNIV SANTA BARBARA DEPT OF ELECTRICAL ENGINEERING

Personal Author(s) : Lefever,Russell J. ; Stear,Edwin B.

Report Date : FEB 1972

Pagination or Media Count : 30

Abstract : The discrete-time, linear, stochastic optimal control problem is considered under information rate constraints on the feedback loop. The feedback loop, including sensor, is modeled as a communication channel which provides a specified amount of information (in the Shannon sense) about the state of the linear plant at each discrete-time instant given the current and past observations and past controls. No further specific structure for the sensor is assumed. The expected value of a positive definite quadratic loss function is used as the performance criterion to be minimized. This leads to a double minimization problem in which the performance criterion is minimized over the set of admissible controls and the set of conditional probability densities for the state given the observations and controls which achieve the specified information. A set of recursion relationships for the solution of this problem is derived. (Author)

Descriptors :   (*ADAPTIVE CONTROL SYSTEMS, MATHEMATICAL MODELS), LINEAR SYSTEMS, OPTIMIZATION, DETECTORS, FEEDBACK, DYNAMIC PROGRAMMING, CALCULUS OF VARIATIONS, STOCHASTIC PROCESSES, PROBABILITY DENSITY FUNCTIONS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE