DUALITY BETWEEN THE DISCRETE-TIME KALMAN FILTER AND LQ CONTROL LAW

Authors
BLACKMORE PA BITMEAD RR
Citation
Pa. Blackmore et Rr. Bitmead, DUALITY BETWEEN THE DISCRETE-TIME KALMAN FILTER AND LQ CONTROL LAW, IEEE transactions on automatic control, 40(8), 1995, pp. 1442-1444
Citations number
6
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control","Engineering, Eletrical & Electronic
Journal title
IEEE transactions on automatic control → ACNP
ISSN journal
00189286
Volume
40
Issue
8
Year of publication
1995
Pages
1442 - 1444
Database
ISI
SICI code
0018-9286(1995)40:8<1442:DBTDKF>2.0.ZU;2-Z
Abstract
In the context of linear quadratic Gaussian (LQG) controller design fo r single-input, single-output, discrete-time, linear, time-invariant s ystems, a duality is demonstrated between the Kalman filter design pha se and the linear quadratic (LQ) design phase, Furthermore, an asympto tic recovery design procedure is proposed. Through specific Kalman fil ter design choices, the LQG open-loop transfer Function is forced to a pproach the LQ open-loop transfer function.