Optimal control and filtering of linear stochastic systems

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Abstract
This paper is in two parts. The first part treats the optimal control of a linear stochastic system with a. quadratic performance criterion. An explicit solution for the cost functional is given. The second port deals with the optimal filtering of the linear system considered in the first part. Modifications in the filtering equation have been made for the case in which the observation noise is of the truncated white noise type. An explicit solution for the a posteriori density function, defined by the filtering equation, is given. The paper concludes with a numerical solution to both the optimal control and the filtering problem associated with a six-plate chemical absorption tower.

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