Tracking problem for linear discrete-time stochastic systems in Hilbert spaces and the uniform observability. (English) Zbl 1164.93013

Ungureanu, Viorica Mariela

An. Univ. Oradea, Fasc. Mat. 13, 273-286 (2006).

The tracking problem for linear discrete-time systems with independent random perturbations in Hilbert spaces is studied for both periodic and unperiodic cases. Here, a certain quadratic cost criterion is minimized under stabilizability and uniform observability (or detectability) conditions. Introducing a certain Riccati difference equation, the optimal costs and an optimal control is determined.

Reviewer: Kurt Marti (Neubiberg)

MSC:

93E20	Optimal stochastic control
93C55	Discrete-time control/observation systems

Keywords:

discrete-time systems; stochastic optimal control; tracking problem; uniform observability; Riccati equation