Distribution of terminal cost functional in continuous-time controlled system with noise-corrupted state information

In order to obtain the cumulative distribution function of the terminal cost in a scalar linear continuous-time system with noise corrupted measurements a first-order partial differential equation is derived. The system is subject to a linear saturated control strategy. The probability density funct...

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Bibliographic Details
Main Authors: Shinar, J., Glizer, V. Y., Turetsky, V.
Format: Conference Proceeding
Language:English
Subjects:
Educational institutions
Estimation
Mathematical model
Noise
Noise measurement
Robustness
Online Access:Request full text
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Summary:In order to obtain the cumulative distribution function of the terminal cost in a scalar linear continuous-time system with noise corrupted measurements a first-order partial differential equation is derived. The system is subject to a linear saturated control strategy. The probability density function of the initial state and the history of the probability density function of the estimator error are assumed to be known. An illustrative numerical example is presented.
DOI:10.1109/EEEI.2012.6377008