Optimal reduced-order compensation of time-varying discrete-time systems with deterministic and white parameters

作     者：Van Willigenburg, LG De Koning, WL 

作者机构：Agr Univ Wageningen Syst & Control Grp NL-6703 HD Wageningen Netherlands Delft Univ Technol Fac Informat Technol & Syst NL-2628 CD Delft Netherlands 

出 版 物：《AUTOMATICA》 (自动学)

年 卷 期：1999年第35卷第1期

页      面：129-138页

核心收录：

学科分类：0711[理学-系统科学] 0808[工学-电气工程] 07[理学] 08[工学] 070105[理学-运筹学与控制论] 081101[工学-控制理论与控制工程] 0811[工学-控制科学与工程] 0701[理学-数学] 071101[理学-系统理论] 

主　　题：reduced-order control numerical algorithms white stochastic parameters multiplicative noise finite horizon LQG control 

摘      要：The finite-horizon optimal compensation problem is considered in the case of linear time-varying discrete-time systems with deterministic and white stochastic parameters and quadratic criteria. The dimensions of the compensator are a priori fixed and may be time varying. Also the dimensions of the system may be time varying. Strengthened discrete-time optimal projection equations (SDOPE) are developed which, within the class of minimal compensators, are equivalent to the first-order necessary optimality conditions. Based on the SDOPE and their associated boundary conditions, two numerical algorithms are presented to solve the two point boundary value problem. One is a homotopy algorithm while the second iterates the SDOPE repeatedly forward and backward in time. The latter algorithm is much more efficient and constitutes a generalization of the single iteration of the control and estimation Riccati equations, associated with the full-order problem for systems with deterministic parameters. The algorithms are illustrated with a numerical example. The case of systems with deterministic parameters will be treated as a special case of systems with white parameters. (C) 1999 Elsevier Science Ltd. All rights reserved.