Abstract
The paper derives a result connecting frequency-domain and time-domain properties of different spectral factors of the one power spectrum matrix. These results are interpreted from an algebraic point of view, and applied to the linear-quadratic optimal control and filtering problem. Interpretations are given of the phenomenon that many optimal control problems can lead to the same optimal control law but different optimal cost, and likewise many filtering problems can lead to the same optimal filter, but different filter performance.
| Original language | English |
|---|---|
| Pages (from-to) | 491-500 |
| Number of pages | 10 |
| Journal | Automatica |
| Volume | 9 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - Jul 1973 |
| Externally published | Yes |