Optimal output feedback control of discrete linear, singularly perturbed, stochastic systems. (English) Zbl 0748.93070
Summary: The static output feedback control problem for discrete linear, singularly perturbed, stochastic system is studied. A recursive algorithm is presented to solve the corresponding coupled nonlinear algebraic equations. The algorithm removes the ill-conditioning by decomposing the higher order equations into lower order equations and develops a technique which enables us to obtain an arbitrary accuracy, that is, \(O(\varepsilon^ j)\) \((j=1,2,3,\dots)\) approximation for this problem. A numerical example is presented to support the theoretical results.
MSC:
| 93E03 | Stochastic systems in control theory (general) |
| 93E20 | Optimal stochastic control |
| 93C05 | Linear systems in control theory |
References:
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