Proceedings of the Annual Conference of the Institute of Systems, Control and Information Engineers
The 51st Annual Conference of the Institute of Systems, Control and Information Engineers
Session ID : 2F3-2
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Host: The Institute of Systems, Control and Information Engineers

Optimization of the Observations of Linear Stochastic Systems by a Criterion on the Regulator Performance
Yoshiki Takeuchi, *Masatoshi Inoue, Akihiro Hirata
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Keywords: Kalman filter, Gaussian stochastic processes, optimization of observations, Optimal Regulator
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Abstract
In this paper, we are concerned with a problem of optimal selection of the gain matrix of the observation in linear stochastic systems. By introducing an information theoretic constraint based on a generalized Water Filling Theorem, we obtain a set of equations to obtain the optimal gain matrix which produces the best performance of the optimal LQG regulator.
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© 2007 The Institute of Systems, Control and Information Engineers
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