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Stationary performance of linear stochastic systems under single step optimal control

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2 Author(s)
Moden, P. ; Uppsala University, Uppsala, Sweden ; Soderstrom, T.

Linear quadratic optimal control with finite time horizon is considered for the case of penalties on the squared inputs and outputs. The relative weighting of these penalties is treated as a design parameter. It is shown that for positive real systems the stationary variances of the input and the output vary monotonically with this design parameter.

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Automatic Control, IEEE Transactions on  (Volume:27 ,  Issue: 1 )