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A twofold spline approximation for finite horizon LQG control of hereditary systems. (English) Zbl 1020.93030
An approximation scheme is developed for the solution to the linear quadratic Gaussian control on a finite time interval for hereditary systems with multiple noncommensurate delays and distributed delay. The authors consider the solution to approximate the Riccati equation for control and the solution to approximate the filtering equations. They prove the convergence of the approximated control law to the optimal control. In particular, simulation results are reported on a wind tunnel model, showing the high performance of the method.

MSC:
93E20 Optimal stochastic control
93C23 Control/observation systems governed by functional-differential equations
93E11 Filtering in stochastic control theory
65L60 Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations
93B40 Computational methods in systems theory (MSC2010)
34K50 Stochastic functional-differential equations
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