The fixed-point method is developed for obtaining efficient numerical solution of linear-quadratic Gaussian problem for singularly perturbed systems. It is shown that each iteration step improves the accuracy by an order of magnitude; that is, the accuracy of O( epsilon **k ) can be obtained by doing only k-1 iterations. On the other hand, only low-order systems are involved in algebraic manipulations, and no analicity requirements are imposed on the system coefficients.
|Original language||English (US)|
|Number of pages||6|
|Journal||Proceedings of the American Control Conference|
|State||Published - Dec 1 1985|
All Science Journal Classification (ASJC) codes
- Electrical and Electronic Engineering