New method for optimal control and filtering of weakly coupled linear discrete stochastic systems

✍ Scribed by Z. Aganovic; Z. Gajic; Xuemin Shen

• Publisher: Elsevier Science
• Year: 1996
• Tongue: English
• Weight: 680 KB
• Volume: 32
• Category: Article
• ISSN: 0005-1098
• DOI: 10.1016/0005-1098(95)00111-5

✦ Synopsis

The algebraic regulator and filter Riccati equations of weakly coupled dticrere-rime stochastic linear control systems are completely and exactly decomposed into reduced-order continuous-time algebraic Riccati equations corresponding to the subsystems. That is, the exact solution of the global discrete algebraic Riccati equation is found in terms of the reduced-order subsystem nonsymmetric continuous-time algebraic Riccati equations. In addition, the optimal global Kalman filter is decomposed into local optimal filters both driven by the system measurements and the system optimal control inputs. As a result, the optimal linear-quadratic Gaussian control problem for weakly coupled linear discrete systems takes decomposition and parallelism between subsystem filters and controllers.