Stochastic control for singular systems

Abstract

A state-space formulation for singular linear stationary systems with stationary random inputs is presented. Some preliminary steps in the derivation of an optimum control strategy in the sense of minimum-error variance using a Drazin inverse is used to form a generalized covariance matrix equation. The necessary and sufficient conditions for the solution of this equation, along with a novel technique for solving it are included. An example is provided to illustrate the technique.<>