Equivalent discrete optimal control problem for randomly sampled digital control systems

Abstract

Abstract This paper considers the transformation of the optimal digital control problem to en equivalent discrete-time optimal control problem in the case of deterministic and stochastic sampling. The continuous-time system to be controlled is linear and disturbed by additive continuous-time white noise (not necessarily gaussian). The observations available at the sampling instants are in general non-linear and corrupted by discrete-time noise independent of the system noise (not necessarily additive, white or gaussian). The performance criterion is quadratic and an integral rather than a sum.