论文信息 - Stationary performance of linear stochastic systems under single step optimal control

Stationary performance of linear stochastic systems under single step optimal control

Linear quadratic optimal control with finite time horizon is considered for the case of penalties on the squared inputs and outputs. The relative weighting of these penalties is treated as a design parameter. It is shown that for positive real systems the stationary variances of the input and the output vary monotonically with this design parameter.

T. Soderstrom | P. Moden

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