Near-optimum regulators for stochastic linear singularly perturbed systems
Hassan K. Khalil, Zoran Gajić · IEEE Transactions on Automatic Control · 1984
This paper presents a new approach to the decomposition and approximation of linear-quadratic-Gaussian estimation and control problems for singularly perturbed systems. The Kalman filter is decomposed into separate slow-mode and fast-mode filters via the use of a decoupling transformation. A near-optimal control law is derived by approximating the coefficients of the optimal control law. The order of approximation of the optimal performance is0(\mu^{N})whereNis the order of approximation of the coefficients.