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)|
|Number of pages||8|
|Journal||IEE Proceedings D: Control Theory and Applications|
|State||Published - 1984|