Optimal Estimation of Dynamic Systems, 2nd Edition

528 Optimal Estimation of Dynamic Systems

8.4 Discrete-Time Control

The importance of discrete-time systems, described in §A.5, is well known with

the reliance on digital computers, which are used to process sampled-data systems

for estimation and control purposes. As discussed in §8.3, the Lagrange multiplier

approach with the use of Pontryagin-form necessary conditions is better suited for

modern-day problems. Hence, we only present this approach for the optimal con-

trol theory involving discrete-time systems. A more thorough treatise involving the

discrete-time Euler-Lagrange equations and associated transversality conditions can

be found in Refs. ...