Brief paper: A method for optimal control and filtering of multitime-scale linear singularly-perturbed stochastic systems

Authors:
N. Prljaca;Z. Gajic
Affiliations:
University of Tuzla, Faculty of Electrical Engineering, Franjevacka 2, Tuzla 75000, Bosnia and Herzegovina;Rutgers University, Department of Electrical and Computer Engineering, 94 Brett Road, Piscataway 08854-8058, NJ, USA
Venue:
Automatica (Journal of IFAC)
Year:
2008

Citing 2
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Brief Paper: Eigenvector approach for order-reduction of singularly perturbed linear-quadratic optimal control problems

Automatica (Journal of IFAC)
Brief New results for near-optimal control of linear multiparameter singularly perturbed systems

Automatica (Journal of IFAC)

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Abstract

In this paper we introduce a transformation for the exact closed-loop decomposition of the optimal Kalman filter and the linear quadratic optimal controller of multi time scale continuous-time, linear, singularly-perturbed stochastic systems. The solution of the corresponding algebraic regulator and filter Riccati equations are obtained in terms of solutions of reduced-order subsystem, algebraic, Riccati equations corresponding to the system time scales. We have also obtained N completely independent reduced-order subsystem Kalman filters working in parallel in different time scales. This allows parallel processing of information with lower-order, different rates Kalman filters consistent with the system time scales.