Optimal control and filtering of weakly coupled linear discrete stochastic systems by the eigenvector approach
Naser Prljača, Zoran Gajić · 2007
Abstract:-In this paper the regulator and filter algebraic Riccati equations, corresponding to the steady state optimal control and filtering of weakly coupled linear discrete stochastic systems are solved in terms of reduced-order sub problems by using the eigenvector approach. The eigenvector method outperforms iterative methods (fixed point iterations, Newton method) of solutions to reduced-order sub problems in case of higher level of coupling between subsystems. In such cases the iterative methods could fail to produce solutions of the corresponding algebraic Riccati equations. Key Words:- Optimal control, Linear discrete stochastic systems, Weakly coupled systems, Order reduction,