Optimal linear stochastic control for systems with multiplicative noise

Bagchi, Arunabha and Schilperoort, Tom (1980) Optimal linear stochastic control for systems with multiplicative noise. IEEE Transactions on Automatic Control, 25 (5). pp. 1005-1007. ISSN 0018-9286

Preview

PDF
243Kb

Abstract:	The stochastic control problem of a linear dynamical system with multiplicative noise and with incomplete and inaccurate observation, has been studied for quadratic performance criterion. A suboptimal solution, which is the best linear control based on the available observations, has been worked out when the observations are given only at discrete-time points.
Item Type:	Article
Copyright:	© 1980 IEEE
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Stochastic Systems and Signals (SST)
Link to this item:	http://purl.utwente.nl/publications/55612
Export this item as:	BibTeX EndNote HTML Citation Reference Manager

Show download statistics for this publication

Repository Staff Only: item control page