A Generalised Minimum Variance Controller for Time-varying Systemsa
| Authors: | Schmid Christian, Ruhr-Universität Bochum, Germany
Zheng Li,, University of Wollongong, Australia |
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| Topic: | 1.4 Stochastic Systems |
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| Session: | Control, Estimation and Analysis of Stochastic Systems |
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| Keywords: | Minimum variance control, Time-varying systems, Linear systems, Discrete-time systems, Adaptive control |
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Abstract
In this paper, the problem of generalised minimum variance control of linear time-varying systems is studied. A time-varying optimal controller is developed for a standard controlled autoregressive moving average model using a cost functional that is the sum of the plant output tracking error variance plus a penalty term of the squared manipulated variable.
