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On the optimal control of stochastic linear systems

1971; Institute of Electrical and Electronics Engineers; Volume: 16; Issue: 6 Linguagem: Inglês

10.1109/tac.1971.1099840

2334-3303

Edison Tse,

Advanced Control Systems Optimization

The problem of controlling stochastic linear systems with quadratic criteria is considered. It is proved that the optimal control law can be realized by the cascade of a Kalman filter and a linear feedback. The importance of different assumptions required in this proof is discussed in detail. This discussion provides some motivation for different extension results.