New method for optimal control and filtering of weakly coupled linear discrete stochastic systems (Q1911300)
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scientific article; zbMATH DE number 867804
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | New method for optimal control and filtering of weakly coupled linear discrete stochastic systems |
scientific article; zbMATH DE number 867804 |
Statements
New method for optimal control and filtering of weakly coupled linear discrete stochastic systems (English)
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7 October 1996
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The quadratic optimal control problem is considered for weakly coupled linear discrete-time systems. Both the control and estimation Riccati equations are decomposed into reduced order continuous time Riccati equations resulting in computational relief.
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filtering
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quadratic optimal control
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linear
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discrete-time
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reduced order
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