IEEE Transactions on Automatic Control · 1969 · 150 citations · 6 references
EngineeringSystems EngineeringOptimizationProcess ControlSystem DynamicsControl Of Dynamical SystemsControl SystemsControl TheoryKalman FilteringOptimal ControlState EstimationAdditive NoiseDelayed State ObservationLinear Control SystemsLinear State-space SystemsOptimal Control With Time DelaysOptimal FilteringQuadratic Cost FunctionsState Prediction
The problem of controlling a linear system to minimize a quadratic cost criterion is investigated when the system output is a delayed linear combination of system states corrupted by additive observation noise. It is shown that the optimal control is generated by the cascade combination of a Kalman filter and a least mean-squared predictor. Expressions are derived for the minimum cost and for the state variances.
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On the Separation Theorem of Stochastic Control
W.M. Wonham · SIAM Journal on Control · 1968 · 544 citations