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An invariant parameter in linear estimation and control

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3 Author(s)
Desai, Uday B. ; Washington State University, Pullman, WA, USA ; Pal, D. ; Chin Hsu

An invariant parameter for the joint observer-controller design, the forward and backward Kalman-Bucy (KB) filter, and the LQG control problem is obtained. Next the balancedness in balanced realizations is interpreted from the invariant parameter viewpoint. It is shown that in general a balanced realization does not lead to a balanced observer-controller design. Also the concept of continuous-time balanced stochastic realization is developed.

Published in:

Automatic Control, IEEE Transactions on  (Volume:29 ,  Issue: 3 )