On optimal control of constrained linear systems with imperfect state information and stochastic disturbances

TRISTAN PEREZ; HERNAN HAIMOVICH; GRAHAM C. GOODWIN

INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL

John Wiley & Sons, Ltd

Año: 2004 vol. 14 p. 379 - 393

1049-8923

We address the problem of finite horizon optimal control of discrete-time linear systems with input constraints and uncertainty. The uncertainty for the problem analysed is related to incomplete state information (output feedback) and stochastic disturbances. We analyse the complexities associated with finding optimal solutions. We also consider two suboptimal strategies that could be employed for larger optimization horizons.