Abstract
This paper deals with the optimal filtering and optimal output-feedback control of discrete-time, linear time-varying non-Gaussian systems. In the hypothesis that the time-varying and non-Gaussian distributions of the state and measurement noises have bounded and known moments up to a given order, this work extends previous results about polynomial filtering and optimal control to the time-varying case. The properties of the resulting filtering and control algorithms are discussed in the light of a stable recursive representation of the Kronecker powers of the system obtained through a suitable rewriting of the system with an output injection term. The resulting sub-optimal algorithm inherits the structure and the properties of the classical LQG approach but with enhanced performance.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.