Stochastic output-variable feedback control

Abstract

In this paper, output-feedback control is applied to a general, linear, time-invariant, stochastic regulator problem. The system of equations defining the feedback gain matrix is developed and put into the form of an algorithm. These equations are then applied to a second-order system to demonstrate how the algorithm works. The results of computer simulation for this system using the constant output-feedback control are compared to the results for the same system using a state-variable estimator.