IEEE Transactions on Automatic Control, Vol.43, No.10, 1469-1475, 1998
Optimal feedback control strategies for state-space systems with stochastic parameters
Two different optimal feedback laws are derived for state-space systems parameterized through an independent identically distributed vector sequence. Both feedback laws are obtained by minimizing the expectation of a multistep quadratic loss function at each time step. They differ on the assumptions made about the future inputs. The properties and implementability of the feedback laws are discussed for the infinite horizon case.
Keywords:GENERALIZED PREDICTIVE CONTROL