WIAS Preprint No. 201, (1995)

On the Regulators with Random Noises in Dynamic Block


  • Lyashenko, Elena A.
  • Ryashko, Lev B.


  • Stochastic systems, optimal regulators, separation theorem




The problem of controlling stochastic linear systems with quadratic criterion is considered. A class of optimal controllers which are equivalent to the separation theorem regulator is determined. For all of such controllers the quadratic functional has the same value. The effects of disregarded disturbances which are modeled by random noises in the dynamic block of the regulator are investigated. It is shown that the equivalent (in the classic propounding) controllers respond to these noises in different ways. Sometimes an "equivalent optimal" regulator may be less receptive towards additional disturbances than the standard one (which comes from the separation theorem). The optimal regulator is found which takes into account the presence of such noises.

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