The optimal projection equations for fixed-order dynamic compensation. (English) Zbl 0555.93069

First-order necessary conditions for optimal fixed-order dynamic compensation of a linear time-invariant system subject to disturbance and observation noise are derived. The optimal dynamic compensator is determined by the simultaneous solution of two matrix equations of Riccati type and two matrix equations of Lyapunov type.
Reviewer: Petko Hr. Petkov


93E20 Optimal stochastic control
15A24 Matrix equations and identities
49K45 Optimality conditions for problems involving randomness
93C05 Linear systems in control theory
93C99 Model systems in control theory
93C35 Multivariable systems, multidimensional control systems
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