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Automatika : journal for control, measurement, electronics, computing and communications, Vol. 49 No. 3-4, 2008.

Original scientific paper

Optimal Control and Filtering of Weakly Coupled Linear Discrete-Time Stochastic Systems by the Eigenvector Approach

Naser Prljaca
Zoran Gajic

Full text: english pdf 242 Kb

page 135-142

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Abstract

In this paper the regulator and filter algebraic Riccati equations, corresponding to the steady state optimal control and filtering of weakly coupled linear discrete stochastic systems, are solved in terms of reduced-order sub problems by using the eigenvector approach. The eigenvector method outperforms iterative methods (fixed point iterations, Newton method) of solutions to reduced-order sub problems in case of higher level of coupling between subsystems.

Keywords

optimal control and filtering; weakly coupled discrete-time systems; block diagonalization; decoupling

Hrčak ID:

29345

URI

https://hrcak.srce.hr/29345

Publication date:

28.11.2008.

Article data in other languages: croatian

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