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The role and use of the stochastic linear-quadratic-Gaussian problem in control system design

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1 Author(s)
Athans, M. ; Massachusetts Institute of Technology, Cambridge, MA, USA

The role of the linear-quadratic stochastic control problem in engineering design is reviewed in tutorial fashion. The design approach is motivated by considering the control of a non-linear uncertain plant about a desired input-output response. It is demonstrated how a design philosophy based on 1) deterministic perturbation control, 2) stochastic state estimation, and 3) linearized stochastic control leads to an overall closed-loop control system. The emphasis of the paper is on the philosophy of the design process, the modeling issue, and the formulation of the problem; the results are given for the sake of completeness, but no proofs are included. The systematic off-line nature of the design process is stressed throughout.

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Automatic Control, IEEE Transactions on  (Volume:16 ,  Issue: 6 )