On the Essential Quadratic Nature of LQG Control-Performance Measure Cumulants

An in depth look at a complete statistical description of linear-quadratic-Gaussian (LQG) performance measures is presented in this paper. The development leads to computationally tractable formulae that form the basis for design performance analysis. The complete statistical description of performa...

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Bibliographic Details
Main Authors: Liberty,S R, Hartwig,R C
Format: Report
Language:English
Subjects:
CONTROL THEORY
FEEDBACK
Linear quadratic gaussian control
LINEAR SYSTEMS
MATHEMATICAL MODELS
STATISTICAL ANALYSIS
Statistics and Probability
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Summary:An in depth look at a complete statistical description of linear-quadratic-Gaussian (LQG) performance measures is presented in this paper. The development leads to computationally tractable formulae that form the basis for design performance analysis. The complete statistical description of performance developed here exhibits the essential quadratic nature of the LQG class of systems.