A new proof of the discrete-time LQG optimal control theorems

Presents a unifying new proof for the three discrete-time linear quadratic Gaussian problems (deterministic, stochastic full information, and stochastic partial information) based on pathwise (deterministic) optimization. The essential difference between the control aspect of the three cases is that...

Full description

Saved in:
Bibliographic Details
Published in:IEEE transactions on automatic control 1995-08, Vol.40 (8), p.1450-1453
Main Authors: Davis, M.H.A., Zervos, M.
Format: Article
Language:English
Subjects:
Applied sciences
Computer science
control theory
systems
Constraint optimization
Control theory. Systems
Costs
Covariance matrix
Electric variables control
Exact sciences and technology
Extraterrestrial measurements
Lagrangian functions
Optimal control
Process control
Riccati equations
Stochastic processes
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Presents a unifying new proof for the three discrete-time linear quadratic Gaussian problems (deterministic, stochastic full information, and stochastic partial information) based on pathwise (deterministic) optimization. The essential difference between the control aspect of the three cases is that the controls should lie in different classes of "admissible controls", and the authors address them as constrained optimization problems using appropriate Lagrange multiplier terms.< >
ISSN:0018-9286
1558-2523
DOI:10.1109/9.402239