On the design of optimal time-invariant compensators for linear stochastic time-invariant systems

Design equations are developed for an optimal limited state feedback controller problem. These equations are developed for the stochastic case, in which both plant noise and measurement noise may be present, and for the case of a dynamic compensator. Four possible approaches to the solution of the nonlinear design equations are described. A fourth-order example illustrates some of the difficulties associated with the solution of these equations and suggests additional areas for study.