Stochastic control of discrete systems: a separation principle for Wiener and polynomial systems

A new separation principle is established for systems represented in discrete frequency-domain Wiener or polynomial forms. The LQG or H/sub 2/ optimal controller can be realized using an observer based structure estimating noise free output variables that are fed back through a dynamic gain control...

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Bibliographic Details
Published in:IEEE transactions on automatic control 1999-11, Vol.44 (11), p.2125-2130
Main Author: Grimble, M.J.
Format: Article
Language:English
Subjects:
Blocking
Control system synthesis
Control systems
Convergence
Differential equations
Discrete systems
Dynamical systems
Dynamics
Gain
Observers
Optimal control
Optimization
Parameter estimation
Polynomials
Sampling methods
Separation
Stochastic systems
System testing
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Summary:A new separation principle is established for systems represented in discrete frequency-domain Wiener or polynomial forms. The LQG or H/sub 2/ optimal controller can be realized using an observer based structure estimating noise free output variables that are fed back through a dynamic gain control block. Surprisingly, there are also two separation principle theorems, depending upon the order in which the ideal output optimal control and the optimal observer problems are solved.
ISSN:0018-9286
1558-2523
DOI:10.1109/9.802929