Stochastic control of discrete systems: a separation principle forWiener and polynomial systems

A new separation principle is established for systems represented in discrete frequency-domain Wiener or polynomial forms. The LQG or H ₂ 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