RESEARCH PAPERS: Vibration and Sound

Review of Linear Stochastic Optimal Control Systems and Applications

[+] Author and Article Information
H. V. Panossian

Rockwell International, Rocketdyne Division, Canoga Park, CA

J. Vib., Acoust., Stress, and Reliab 111(4), 399-403 (Oct 01, 1989) (5 pages) doi:10.1115/1.3269875 History: Received January 21, 1988; Online November 23, 2009


Many complex control systems can be modeled by linear ordinary differential/difference equations with multiplicative and additive noise. The characteristics and behavior of such systems are different from a regular linear quadratic Gaussian system, the basic difference being the inapplicability of the separation or the certainty equivalence principle. Control systems with multiplicative and additive noise are reviewed herein and the fundamental results, in continuous and discrete-time setting, are presented. Furthermore, the advantages and disadvantages are underlined and the need for further research is pointed out.

Copyright © 1989 by ASME
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