NEW METHOD FOR OPTIMAL-CONTROL AND FILTERING OF WEAKLY COUPLED LINEARDISCRETE STOCHASTIC-SYSTEMS

The algebraic regulator and filter Riccati equations of weakly coupled discrete-time stochastic linear control systems are completely and ex actly decomposed into reduced-order continuous-time algebraic Riccati equations corresponding to the subsystems. That is, the exact solution of the global discrete algebraic Riccati equation is found in terms o f the reduced-order subsystem nonsymmetric continuous-time algebraic R iccati equations. In addition, the optimal global Kalman filter is dec omposed into local optimal filters both driven by the system measureme nts and the system optimal control inputs. As a result, the optimal li near-quadratic Gaussian control problem for weakly coupled linear disc rete systems takes decomposition and parallelism between subsystem fil ters and controllers.