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Polynomial optimization of stochastic feedback control for stable plants. (English) Zbl 0648.93077
A rigorous derivation is given of the polynomial method for optimizing the stationary stochastic feedback control of linear multivariable plants. The same approach is used for both discrete-time and continuous- time control. In each case, the method involves two spectral factorizations and, by considering only stable plants, the solution of one diophantine equation.

MSC:
93E20 Optimal stochastic control
93C05 Linear systems in control theory
93C35 Multivariable systems, multidimensional control systems
15A23 Factorization of matrices
15A24 Matrix equations and identities
93B25 Algebraic methods
93C55 Discrete-time control/observation systems
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