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Controller design of systems with multiplicative noise

Yannis Phillis

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URI: http://purl.tuc.gr/dl/dias/BEC327E9-F34E-4C88-9E7F-FC648087D6AE
Year 1985
Type of Item Peer-Reviewed Journal Publication
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Bibliographic Citation Υ. A. Phillis, "Controller design of systems with multiplicative noise," IEEE Tran. on Aut. Control, vol. 30, no. 10, pp. 1017-1019, 1985.doi : 10.1109/TAC.1985.1103828 https://doi.org/ 10.1109/TAC.1985.1103828
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Summary

General linear continuous stochastic systems are considered with multiplicative noise in the control and state channels and stabilizing optimal inputs are synthesized for both time-varying and time-invariant situations. In the nonstationary case, a set of nonlinear matrix differential equations has to be solved. In the stationary problem, a set of nonlinear matrix algebraic equations provides the solution. The separation principle is not valid and both the state filtering and the control synthesis problem should be treated simultaneously.

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