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Reduced-order inf. horizon time-inv. discr.-time LQG control for systems with white parameters

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Optimal reduced-order compensation of discrete-time linear systems with white parameters



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Software described in and associated with the paper

"Numerical algorithms and issues concerning the discrete-time optimal projection equations for systems with white parameters", Proceedings UKACC International Conference on Control '98, 1-4 Sept. 1998, University of Swansea, UK, Vol. 2, pp.1605-1610.

The optimal reduced-order compensator (controller) for time-invariant linear discrete-time systems with white parameters (multiplicative white noise) is computed. The cost function is quadratic, the horizon infinite, and the system and measurements are disturbed by additive as well as multiplicative white noise. The algorithm is based on the strengthened discrete-time optimal projection equations (SDOPE).

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