Minimal representation of matrix valued white stochastic processes and U-D factorisation of algorithms for optimal control

• Published in: International journal of control Vol. 86; no. 2; pp. 309 - 321
• Main Authors: Van Willigenburg, L. Gerard, De Koning, Willem L.
• Format: Journal Article
• Language: English
• Published: Abingdon Taylor & Francis Group 01.02.2013; Taylor & Francis Ltd
• Subjects: Algorithms; compensatability; compensation; Descriptions; Dynamical systems; Dynamics; linear-systems; matrix valued white stochastic processes; minimal representation; multiplicative white noise; optimal compensation; Optimization; parameters; Statistics; Stochastic models; stochastic parameters; Stochastic processes; Studies; UDU factorisation

Two different descriptions are used in the literature to formulate the optimal dynamic output feedback control problem for linear dynamical systems with white stochastic parameters and quadratic criteria, called the optimal compensation problem. One describes the matrix valued white stochastic proce...