Comparison of the Bounded and Unbounded Feedback Controls for The Stochastic Linear-Quadratic Problem

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Abstract

The control laws for the stochastic linear undamped system buried in Gaussian white noise were compared. Consideration was given to the magnitude-bounded and unbounded linear feedback controls. The laws were compared for the purpose of possible replacement by the linear-quadratic procedure of the procedure of determination of the switching lines for the bounded-control law.

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