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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.
Date of Publication: Dec 1971