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In Sect.  19.5 , we discussed the need to consider two cases of optimal control for stochastic systems: 1) when the state \(\textbf{x}(t)\) is fully known, and 2) when the \(\textbf{x}(t)\) is unknown. This chapter treats the second case, by using linear state estimation techniques (in particular, the Kalman filter) to estimate the state \(\textbf{x}(t)\) first, prior to any control.

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Linear State Estimation

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  • 发表日期：

    2026年

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  • SooJean Han

摘要

In Sect.  19.5 , we discussed the need to consider two cases of optimal control for stochastic systems: 1) when the state \(\textbf{x}(t)\) is fully known, and 2) when the \(\textbf{x}(t)\) is unknown. This chapter treats the second case, by using linear state estimation techniques (in particular, the Kalman filter) to estimate the state \(\textbf{x}(t)\) first, prior to any control.