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This paper deals with control of first and second moment of the states of linear stochastic discrete-time systems. In this paper, the expectation and covariance of the states are combined together to construct a new higher order system. Our approach tends to use the covariance and the expectation of the states as feedback signals to obtain the appropriate control signal which leads the states of the...
This paper presents the mean-square joint state and diffusion coefficient (noise intensity) estimator for linear stochastic systems with unknown noise intensity over linear observations, where unknown parameters are considered Wiener processes. The original problem is reduced to the filtering problem for an extended state vector that incorporates parameters as additional states. Since the noise intensities...
The optimal exponential-quadratic control problem and exponential mean-square filtering problems are considered for stochastic Gaussian systems with polynomial first degree drift terms and intensity parameters multiplying diffusion terms in the state and observations equations. The closed-form optimal control and filtering algorithms are obtained using quadratic value functions as solutions to the...
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