Discounted linear exponential quadratic Gaussian control

In this note, we describe a recursive formulation of discounted costs for a linear quadratic exponential Gaussian linear regulator problem which implies time-invariant linear decision rules in the infinite horizon case. Time invariance in the discounted case is attained by surrendering state-separab...

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Bibliographic Details
Published in:IEEE transactions on automatic control 1995-05, Vol.40 (5), p.968-971
Main Authors: Hansen, L.P., Sargent, T.J.
Format: Article
Language:English
Subjects:
Algebra
Applied sciences
Computer science
control theory
systems
Continuous wavelet transforms
Control theory. Systems
Cost function
Covariance matrix
Difference equations
Exact sciences and technology
Infinite horizon
Optimal control
Regulators
Riccati equations
Statistics
Vectors
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Summary:In this note, we describe a recursive formulation of discounted costs for a linear quadratic exponential Gaussian linear regulator problem which implies time-invariant linear decision rules in the infinite horizon case. Time invariance in the discounted case is attained by surrendering state-separability of the risk-adjusted costs.< >
ISSN:0018-9286
1558-2523
DOI:10.1109/9.384242