Abstract
A singularly perturbed, linear, discrete, optimal, stochastic control problem is considered. The resulting equations for the Kalman filter for the dynamic and steady-state conditions are formulated. A singular-perturbation method is developed to obtain approximate solutions in terms of an outer series and a correction series. Examples illustrate the proposed method.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 39-46 |
| Number of pages | 8 |
| Journal | IEE Proceedings D: Control Theory and Applications |
| Volume | 131 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1984 |
| Externally published | Yes |