Staff Publications

Staff Publications

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    'Staff publications' is the digital repository of Wageningen University & Research

    'Staff publications' contains references to publications authored by Wageningen University staff from 1976 onward.

    Publications authored by the staff of the Research Institutes are available from 1995 onwards.

    Full text documents are added when available. The database is updated daily and currently holds about 240,000 items, of which 72,000 in open access.

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Record number 430338
Title Minimal representation of matrix valued white stochastic processes and U–D factorisation of algorithms for optimal control
Author(s) Willigenburg, L.G. van; Koning, W.L. de
Source International Journal of Control 86 (2013)2. - ISSN 0020-7179 - p. 309 - 321.
Department(s) Biomass Refinery and Process Dynamics
Publication type Refereed Article in a scientific journal
Publication year 2013
Keyword(s) linear-systems - compensatability - compensation - parameters
Abstract Two different descriptions are used in the literature to formulate the optimal dynamic output feedback control problem for linear dynamical systems with white stochastic parameters and quadratic criteria, called the optimal compensation problem. One describes the matrix valued white stochastic processes involved, using a sum of deterministic matrices each one multiplied by a scalar stochastic process that is independent of the others. Another, that is more general and concise, uses Kronecker products instead. This article relates the statistics of both descriptions and shows their advantages and disadvantages. As to the first description, an important result that comes out is the minimum number of matrices multiplied by scalar, independent, stochastic processes needed to represent a certain matrix valued white stochastic process, together with an associated minimal representation. As to the second description, an important result concerns the generation of all Kronecker products that represent relevant statistics. Both results facilitate the specification of statistics of systems with white stochastic parameters. The second part of this article further exploits these results to perform an U–D factorisation of an algorithm to compute optimal dynamic output feedback controllers (optimal compensators) for linear discretetime systems with white stochastic parameters and quadratic sum criteria. U–D factorisation of this type of algorithm is new. By solving several numerical examples, the U–D factored algorithm is compared with a conventional algorithm.
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