The equivalent discrete-time optimal control problem for time-varying continuous-time systems with white stochastic parameters

The transformation into discrete-time equivalents of digital optimal control problems, involving continuous-time linear systems with white stochastic parameters, and quadratic integral criteria, is considered. The system parameters have time-varying statistics. The observations available at the sampling instants are in general nonlinear and corrupted by discrete-time noise. The equivalent discrete-time system has white stochastic parameters. Expressions are derived for the first and second moment of these parameters and for the parameters of the equivalent discrete-time sum criterion, which are explicit in the parameters and statistics of the original digital optimal control problem. A numerical algorithm to compute these expressions is presented. For each sampling interval, the algorithm computes the expressions recursively, forward in time, using successive equidistant evaluations of the matrices which determine the original digital optimal control problem. The algorithm is illustrated with three examples. If the observations at the sampling instants are linear and corrupted by multiplicative and or additive discrete-time white noise, then, using recent results, full and reduced-order controllers that solve the equivalent discrete-time optimal control problem can be computed