Stochastic control of discrete systems: A separation principle for Wiener and polynomial systems

A new separation principle is established for systems represented in discre te frequency-domain Wiener or polynomial forms. The LQG or Ha optimal contr oller can be realized using an observer based structure estimating noise fr ee output variables that are fed back through a dynamic gain control block. Surprisingly, there are also two separation principle theorems, depending upon the order in which the ideal output optimal control and the optimal ob server problems are solved.