You are here : Control System Design - Index | Book Contents | Appendix D | Section D.5 D. Properties of Continuous-Time Riccati Equations
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(D.5.7) |
Substituting (D.5.5) into (D.5.4) gives
Using integration by parts, we then obtain
Finally, using (22.10.5) and (D.5.6), we obtain
Hence, squaring and taking mathematical expectations, we obtain
(upon using (D.5.3),
(22.10.3) and (22.10.4) ) the following:
The last term in (D.5.11) is zero if
.
Thus,
we see that the design of the optimal linear filter can be
achieved by minimizing
where
satisfies the reverse-time equations
(D.5.5) and (D.5.6).
We recognize the set of equations formed by (D.5.5), (D.5.6), and (D.5.12) as a standard linear regulator problem, provided that the connections shown in Table D.1 are made.
Table D.1: Duality in quadratic regulators and filters
Finally, by using the (dual) optimal control results presented earlier, we see that the optimal filter is given by
where
and
satisfies the dual form of
(D.0.1), (22.4.18):
Substituting (D.5.14) into (D.5.5), (D.5.6) we see that
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(D.5.21) |
We see that
is the output of a linear homogeneous
equation. Let
,
and define
as the
state transition matrix from
for the time-varying system
having
equal to
.
Then
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Hence, the optimal filter satisfies
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where
We then observe that (D.5.24) is actually the solution of
the following state space (optimal
filter).
We see that the final solution depends on
only through
(D.5.27). Thus, as predicted, (D.5.25),
(D.5.26) can be used to generate an optimal estimate of any
linear combination of states.
Of course, the optimal filter (D.5.25) is identical to that given in (22.10.23)
All of the properties of the optimal filter follow by analogy from the (dual) optimal linear regulator. In particular, we observe that (D.5.16) and (D.5.17) are a CTDRE and its boundary condition, respectively. The only difference is that, in the optimal-filter case, this equation has to be solved forward in time. Also, (D.5.16) has an associated CTARE, given by
Thus, the existence, uniqueness, and properties of stabilizing solutions for (D.5.16) and (D.5.28) satisfy the same conditions as the corresponding Riccati equations for the optimal regulator.