Optimal discrete stochastic control theory for process application

Abstract

Abstract The design of discrete feedback controllers which minimize some linear function of the variances of the output deviations from target subject to possible constraints on the variances of the inputs, for linear systems subject to stochastic disturbances, is treated from two points of view: (1) using transfer function models to characterizing the process dynamics and autoregres‐sive‐moving‐average models to characterize the stochastic disturbances, and then solving the optimal control problem using an approach due to Box and Jenkins and a discrete version of the Wiener‐Newton theory; and (2) using state variable models to characterize both the dynamic and stochastic parts of the system, and then solving the optimal control problem using the results of dynamic programming and Kalman filtering. Practical considerations such as model forms, their identification and estimation, and the development of variance relationships that are necessary for the application of these two approaches in the process industries are discussed. The relationship between and a comparison of these two approaches is made.