Separation theorem for linearly constrained LQG optimal control - a continuous time case

We solve the linearly constrained linear-quadratic (LQ) and linear-quadratic-Gaussian (LQG) optimal control problems. Closed form expressions of the optimal controls are derived, and the separation theorem is generalized.

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Bibliographic Details
Main Authors: Lim, A.E.B., Moore, J.B., Faybusovich, L.
Format: Conference Proceeding
Language:English
Subjects:
Computer aided software engineering
Constraint theory
Convergence
Mathematics
Optimal control
Postal services
Stochastic processes
Strain control
Systems engineering and theory
Vectors
Online Access:Request full text
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Description
Summary:We solve the linearly constrained linear-quadratic (LQ) and linear-quadratic-Gaussian (LQG) optimal control problems. Closed form expressions of the optimal controls are derived, and the separation theorem is generalized.
ISSN:0191-2216
DOI:10.1109/CDC.1996.577430