Minimum mean-square error stochastic linear control

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Abstract
Optimal control algorithms are developed for discrete and continuous time stochastic linear dynamical systems for an ‘instantaneous ’ weighted mean–square error perfomance measure.The derivations are based on well–known results in matrix analysis and the theory of stochastic linear systems. Cases where the system disturbance and/or the measurement error processes are each time-correlated are considered, and the original optimal control algorithms are modified to handle such cases. The results are attractive for on–line control applications since they require no pre–computation. Stability analysis remains as a problem for future study.

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