Compensatability and Optimal Compensation of Systems with Stochastic Parameters

摘要

The optimal compensation problem is considered in the case of linear discrete-time systems with white stochastic parameters, and quadratic criteria. A generalization of the notion of mean square stabilizability, namely mean square compensatability, is introduced. It is shown that suitable mean square compensatability and detectability conditions are sufficient, and necessary in general, for the existence of a unique optimal mean square stabilizing compensator. Tests are given to determine if a system is mean square compensatable or not. It is indicated how to calculate numerically the tests and the optimal mean square stabilizing compensator. The results are illustrated with examples. (Copyright (c) 1989 by Faculty of Technical Mathematics and Informatics, Delft, The Netherlands.)