Design of stochastic discrete time linear optimal regulators Part II. Extension and computational procedures

Using the relationship established in Part I, computational procedures are formulated for implementing stochastic optimal regulators based on the CARMA model. The state space configurations (including both the implicit delay and explicit delay models) allow the consideration of general quadratic cost functions, in particular the receding horizon N-stage cost function ; a simple example is used to illustrate various design steps required. The characteristics of the implicit delay and explicit delay models are exploited to give a computationally efficient scheme for system with large control delay