A method for optimal control and filtering of multitime-scale linear singularly-perturbed stochastic systems

In this paper we introduce a transformation for the exact closed-loop decomposition of the optimal Kalman filter and the linear quadratic optimal controller of multi time scale continuous-time, linear, singularly-perturbed stochastic systems. The solution of the corresponding algebraic regulator and filter Riccati equations are obtained in terms of solutions of reduced-order subsystem, algebraic, Riccati equations corresponding to the system time scales. We have also obtained N completely independent reduced-order subsystem Kalman filters working in parallel in different time scales. This allows parallel processing of information with lower-order, different rates Kalman filters consistent with the system time scales. (C) 2008 Elsevier Ltd. All rights reserved.