New method for LQG control of singularly perturbed discrete stochastic systems
- Lim, Myo-Taeg (Department of Control and Instrumentation Engineering Changwon National University, Changwon, Kyungnam) ;
- Kwon, Sung-Ha (Department of Control and Instrumentation Engineering Changwon National University, Changwon, Kyungnam)
- Published : 1995.10.01
In this paper a new approach to obtain the solution of the linear-quadratic Gaussian control problem for singularly perturbed discrete-time stochastic systems is proposed. The alogorithm proposed is based on exploring the previous results that the exact solution of the global discrete algebraic Riccati equations is found in terms of the reduced-order pure-slow and pure-fast nonsymmetric continuous-time algebraic Riccati equations and, in addition, the optimal global Kalman filter is decomposed into pure-slow and pure-fast local optimal filters both driven by the system measurements and the system optimal control input. It is shown that the optimal linear-quadratic Gaussian control problem for singularly perturbed linear discrete systems takes the complete decomposition and parallelism between pure-slow and pure-fast filters and controllers.