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    An integrated optimal control algorithm for discrete-time nonlinear stochastic system

    Access Status
    Fulltext not available
    Authors
    Kek, S.
    Teo, Kok Lay
    Ismail, A.
    Date
    2010
    Type
    Journal Article
    
    Metadata
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    Citation
    Kek, Sie Long and Teo, Kok Lay and Ismail, A.A. Mohd. 2010. An integrated optimal control algorithm for discrete-time nonlinear stochastic system. International Journal of Control. 83 (12): pp. 2536-2545.
    Source Title
    International Journal of Control
    DOI
    10.1080/00207179.2010.531766
    ISSN
    00207179
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/27941
    Collection
    • Curtin Research Publications
    Abstract

    Consider a discrete-time nonlinear system with random disturbances appearing in the real plant and the output channel where the randomly perturbed output is measurable. An iterative procedure based on the linear quadratic Gaussian optimal control model is developed for solving the optimal control of this stochastic system. The optimal state estimate provided by Kalman filtering theory and the optimal control law obtained from the linear quadratic regulator problem are then integrated into the dynamic integrated system optimisation and parameter estimation algorithm. The iterative solutions of the optimal control problem for the model obtained converge to the solution of the original optimal control problem of the discrete-time nonlinear system, despite model-reality differences, when the convergence is achieved. An illustrative example is solved using the method proposed. The results obtained show the effectiveness of the algorithm proposed.

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