Optimal Piecewise-Constant Control of Dynamic Systems with Applications to Kalman Filtering

摘要

The report presents the theory and applications of a suboptimal control algorithm for a general nonlinear control system. This suboptimal algorithm requires the optimal control to be piecewise constant. Necessary conditions are derived for both discrete-time and continuous-time systems. The application to Kalman filtering problems is specifically carried out to illustrate the theoretical results. (Author)