Relationship between Box-Jenkins-Åström control and Kalman linear regulator
- 1 January 1972
- journal article
- Published by Institution of Engineering and Technology (IET) in Proceedings of the Institution of Electrical Engineers
- Vol. 119 (5) , 615-620
- https://doi.org/10.1049/piee.1972.0131
Abstract
The Box-Jenkins-Åström minimum-variance control law for univariate linear stochastic systems is summarised. A minimum-expected-quadratic-loss feedback control law for the same system is derived using state-space theory. Subject to conditions sufficient for the control laws to exist, both theories are shown to give the same result in the 1-step-ahead (unit-delay) case. The more general case is discussed.Keywords
This publication has 2 references indexed in Scilit:
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- Extrapolation, Interpolation, and Smoothing of Stationary Time SeriesPublished by MIT Press ,1949