Stochastic Control - External Models

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    Abstract

    This note is devoted to control of stochastic systems described in discrete time. We are concerned with external descriptions or transfer function model, where we have a dynamic model for the input output relation only (i.e.. no direct internal information). The methods are based on LTI systems and quadratic costs. We will start with the basic minimal variance problem and then move on to more complex and applicable strategies such as GMV, GPC and LQG control. These methods can be regarded as extension to the basic minimal variance strategy and have all a close relation to prediction. Consequently a section on that topic can be found in appendix.
    Original languageEnglish
    Publication statusPublished - 2005

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