Feedback control of stochastic systems with a generalized performance index†
- 1 February 1972
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 15 (2) , 381-387
- https://doi.org/10.1080/00207177208932155
Abstract
The feedback control of a class of linear systems disturbed by additive white noise is considered. A linear control law is used to minimize a non-quadratic integral performance criterion. The stochastic problem is transformed to a deterministic problem, and a solution is developed using the calculus of variations.Keywords
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