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Optimal Control And Identification Of Stochastic Systems Using Differential Game Theory, Harry Marvin Burbank

Dissertations

This dissertation deals with linear systems subjected to stochastic disturbances. The class of stochastic processes considered is the class of second order stochastic processes characterized by having finite continuous covariance. The properties of the covariance provide means to formulate optimization problems without the difficulties present when the covariance is not finite or continuous.

The first aspect studied was several classes of optimal control problems. The effects of the stochastic processes were approximated by the effects of its first two moments. This procedure resulted in allowing optimal system controls to be found whatever the first two moments of the stochastic input …