On the choice of weighting matrices in the minimum variance controller

DOI10.1016/0005-1098(89)90082-4zbMath0687.93079OpenAlexW2105355085WikidataQ115053874 ScholiaQ115053874MaRDI QIDQ1263564

Pieter W. Otter, Jacob Christiaan Engwerda

Publication date: 1989

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://pure.uvt.nl/ws/files/654108/27760_7458.pdf

zbMATH Keywords

minimum variance controlmodel reference controldeadbeat controlweighting matrix

Mathematics Subject Classification ID

Stabilization of systems by feedback (93D15) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Stochastic and robust control of nonlinear economic systems ⋮ Admissible target paths in economic models ⋮ Interactive decision making: Equivalence of modified formulations ⋮ The diagonalizability of quadratic functions and the arbitrariness of shadow prices

Cites Work

• The solution of the infinite horizon tracking problem for discrete time system possessing an exogenous component
• Theory and applications of adaptive control - a survey
• Dynamic programming and stochastic control
• Dynamic feature space modelling, filtering and self-tuning control of stochastic systems. A systems approach with economic and social applications
• On the set of obtainable reference trajectories using minimum variance control
• Projection methods in constrained optimisation and applications to optimal policy decisions
• Stochastic models, estimation, and control. Vol. 1
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