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Optimal control of linear plants with random parameters

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2 Author(s)
Drenick, R.F. ; Polytechnic Institute of Brooklyn, Brooklyn, NY,USA ; Shaw, L.

The subject of this paper is the optimal control of linear plants whose coefficients and whose reference signals are random processes. The discrete-time as well as the continuous-time problems are treated and some fairly deep-seated distinctions between the two are pointed out. Special emphasis is placed on control over long periods of time. A set of assumptions is laid down under which the transition to infinitely long periods of operation is tractable. It is shown that a discrete-time plant is controllable, in the sense that the rate of the mean-squared error remains finite, only when certain necessary and sufficient conditions are fulfilled by the statistics of the plant parameters.

Published in:

Automatic Control, IEEE Transactions on  (Volume:9 ,  Issue: 3 )

Date of Publication:

Jul 1964

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