Problem involves design of controls for linear time-invariant system disturbed by white noise. Solution is Kalman filter coupled through set of optimal regulator gains to produce desired control signal. Key to solution is solving matrix Riccati differential equation. LSOCE effectively solves problem for wide range of practical applications. Program is written in FORTRAN IV for batch execution and has been implemented on IBM 360.


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    Title :

    Linear stochastic optimal control and estimation problem


    Contributors:

    Published in:

    Publication date :

    1980-09-01



    Type of media :

    Miscellaneous


    Type of material :

    No indication


    Language :

    English




    Linear stochastic optimal control and estimation

    Geyser, L. C. / Lehtinen, F. K. B. | NTRS | 1977


    Linear stochastic optimal control and estimation

    Geyser, L. C. / Lehtinen, F. K. B. | NTRS | 1976


    Stochastic Optimal Control of Linear Dynamic Systems

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