IEEE Transactions on Automatic Control, Vol.44, No.11, 2125-2130, 1999
Stochastic control of discrete systems: A separation principle for Wiener and polynomial systems
A new separation principle is established for systems represented in discrete frequency-domain Wiener or polynomial forms. The LQG or Ha optimal controller can be realized using an observer based structure estimating noise free output variables that are fed back through a dynamic gain control block. Surprisingly, there are also two separation principle theorems, depending upon the order in which the ideal output optimal control and the optimal observer problems are solved.