Abstract
In this paper the algebraic regulator and filter Riccati equations of singularly perturbed discrete-time control systems are completely and exactly decomposed into reduced-order continuous-time algebraic Riccati equations corresponding to the slow and fast time scales. In addition, the optimal global Kalman filter is decomposed into pure-slow and pure-fast local optimal filters both driven by the system measurements and the system optimal control input. It is shown that these two filters can be implemented independently in the different time scales. As a result, the optimal linear-quadratic Gaussian control problem for singularly perturbed linear discrete systems takes the complete decomposition and parallelism between pure-slow and pure-fast filters and controllers.
| Original language | English |
|---|---|
| Title of host publication | Proceedings of the American Control Conference |
| Pages | 534-538 |
| Number of pages | 5 |
| Volume | 1 |
| Publication status | Published - 1995 |
| Externally published | Yes |
| Event | Proceedings of the 1995 American Control Conference. Part 1 (of 6) - Seattle, WA, USA Duration: 1995 Jun 21 → 1995 Jun 23 |
Other
| Other | Proceedings of the 1995 American Control Conference. Part 1 (of 6) |
|---|---|
| City | Seattle, WA, USA |
| Period | 95/6/21 → 95/6/23 |
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ASJC Scopus subject areas
- Control and Systems Engineering
Cite this
New methods for optimal control and filtering of singularly perturbed linear discrete stochastic systems. / Lim, Myo Taeg; Gajic, Z.; Shen, X.
Proceedings of the American Control Conference. Vol. 1 1995. p. 534-538.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
}
TY - GEN
T1 - New methods for optimal control and filtering of singularly perturbed linear discrete stochastic systems
AU - Lim, Myo Taeg
AU - Gajic, Z.
AU - Shen, X.
PY - 1995
Y1 - 1995
N2 - In this paper the algebraic regulator and filter Riccati equations of singularly perturbed discrete-time control systems are completely and exactly decomposed into reduced-order continuous-time algebraic Riccati equations corresponding to the slow and fast time scales. In addition, the optimal global Kalman filter is decomposed into pure-slow and pure-fast local optimal filters both driven by the system measurements and the system optimal control input. It is shown that these two filters can be implemented independently in the different time scales. As a result, the optimal linear-quadratic Gaussian control problem for singularly perturbed linear discrete systems takes the complete decomposition and parallelism between pure-slow and pure-fast filters and controllers.
AB - In this paper the algebraic regulator and filter Riccati equations of singularly perturbed discrete-time control systems are completely and exactly decomposed into reduced-order continuous-time algebraic Riccati equations corresponding to the slow and fast time scales. In addition, the optimal global Kalman filter is decomposed into pure-slow and pure-fast local optimal filters both driven by the system measurements and the system optimal control input. It is shown that these two filters can be implemented independently in the different time scales. As a result, the optimal linear-quadratic Gaussian control problem for singularly perturbed linear discrete systems takes the complete decomposition and parallelism between pure-slow and pure-fast filters and controllers.
UR - http://www.scopus.com/inward/record.url?scp=0029191537&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0029191537&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:0029191537
VL - 1
SP - 534
EP - 538
BT - Proceedings of the American Control Conference
ER -