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

Naser Prljaca
Zoran Gajic

Sažetak

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.

Ključne riječi

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

Hrčak ID:

29345

URI

https://hrcak.srce.hr/29345

Datum izdavanja:

28.11.2008.

Podaci na drugim jezicima: hrvatski

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