Journal ArticleDOI
Optimal stochastic control of nonlinear systems
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TLDR
In this paper, an algorithm for the feedback control of nonlinear systems, the observations of which are corrupted with noise of unknown statistics, is proposed, which requires the on-line integration of n(n + 3)/2 differential equations, where n is the number of unknown states and parameters.Abstract:
An algorithm is proposed for the feedback control of nonlinear systems, the observations of which are corrupted with noise of unknown statistics. The feedback loop contains a nonlinear Kalman filter, which produces sequential least-square estimates of the state of the system, and a controller designed to minimize an instantaneous performance criterion based on the state estimates. The scheme requires the on-line integration of n(n + 3)/2 differential equations, where n is the number of unknown states and parameters. The scheme is applied to the feedback control of a CSTR with a first-order exothermic reaction the temperature measurements of which are corrupted with random noise.read more
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