Abstract
The authors formulate and solve an infinite-horizon stochastic optimization problem where both the control and the measurement strategies are to be designed simultaneously, under a quadratic performance index. The complete solution to the infinite-horizon problem is provided, the existence of optimal stationary policies is established, and an algorithm for the numerical computation of these policies is given. Thus linear stationary policies are overall optimal and can be obtained from the solution of an infinite-horizon nonlinear deterministic optimal control problem.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1924-1925 |
| Number of pages | 2 |
| Journal | Proceedings of the IEEE Conference on Decision and Control |
| State | Published - 1988 |
| Event | Proceedings of the 27th IEEE Conference on Decision and Control - Austin, TX, USA Duration: Dec 7 1988 → Dec 9 1988 |
ASJC Scopus subject areas
- Control and Optimization
- Control and Systems Engineering
- Modeling and Simulation