ECE 7332 Design of Statistical Control Systems

UH Catalog Data: Cr.3 (3-0)

Prerequisite: ECE 6325 (or 5335) or consent of instructor.

Synthesis of optimal stationary and time-varying linear
control systems

based upon random signal characteristics and statistical
performance criteria.

Adaptive control systems.

Instructor's Suggestions:

Basic concepts of probability and statistics (such as
mean, (co)variance,

and least-squares principle) are necessary and basic
knowledge on discrete

Gaussian random sequences is preferable.

Textbook (required):

G. Chen, Goong Chen and S. H. Hsu: Linear Stochastic
Control Systems,

CRC Press, 1995. Only Part II (Chapters
4,5,6) of the book will be covered

in detail. The rest of the text
will be used as reference material.

Reference (recommended):

C. K. Chui and G. Chen: Linear Systems and Optimal Control,
Springer-Verlag,

1989.

General Description:

Optimal filtering, identification, control and adaptive
control of discrete-time

linear systems will be studied in detail. The subjects
on continuous-time linear

systems and general nonlinear systems will also be discussed
briefly. Part II

(Chapters 3,4,5) of the textbook covers most of these
topics.

Topics:

1. Basic concepts and analysis
of linear stochastic systems

1.1. Analysis of discrete-time linear stochastic systems

1.2. Belief discussion on continuous-time linear stochastic
systems

2. Optimal state-estimation
(filtering) for linear stochastic systems

2.1. Optimal estimation for discrete-time linear systems

2.2. Optimal estimation for continuous-time linear systems

2.3. (Sub)optimal estimation for nonlinear systems

3. System parameters identification

3.1. Discrete-time systems identification

3.2. Hybrid approach for continuous-time systems identification

4. Review of optimal systems
control theory and techniques

4.1. Optimal systems control of discrete-time systems

4.2. Optimal systems control of continuous-time systems

4.3. LQ optimal control and Riccati equations

5. Optimal control of linear
stochastic systems

5.1. LQG optimal control problems

5.2. LQG optimal control problems with time-delay

6. Adaptive filtering and
adaptive control

6.1. Adaptive filtering for discrete-time linear systems

6.2. Adaptive control for discrete-time linear systems

Computer Project: One per
semester