Optimal control and filtering of weakly coupled linear discrete stochastic systems by the eigenvector approach

Authors:
Naser Prljaca;Zoran Gajic
Affiliations:
Faculty of Electrical Engineering, University of Tuzla, Tuzla, Bosnia and Herzegovina;Department of Electrical and Computer Engineering, Rutgers University, Piscataway, NJ
Venue:
WSEAS Transactions on Systems and Control
Year:
2007

Citing 4
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Abstract

In this paper the regulator and filter algebraic Riccati equations, corresponding to the steady state optimal control and filtering of weakly coupled linear discrete stochastic systems are solved in terms of reduced-order sub problems by using the eigenvector approach. The eigenvector method outperforms iterative methods (fixed point iterations, Newton method) of solutions to reduced-order sub problems in case of higher level of coupling between subsystems. In such cases the iterative methods could fail to produce solutions of the corresponding algebraic Riccati equations.