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A formula for the optimal cost in the general discrete-time LEQG problem
Published in
2009
Volume: 45
   
Issue: 10
Pages: 2419 - 2426
Abstract
This paper is aimed at deriving an explicit formula for the optimal cost for discrete-time linear exponential-of-quadratic Gaussian (LEQG) control problems. We make direct calculations for the general case with cross terms in the cost and noise covariance matrices using an information-state approach. © 2009 Elsevier Ltd.
About the journal
JournalAutomatica
ISSN00051098
Open AccessNo
Concepts (14)
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    Discrete-time systems
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    DYNAMIC OUTPUT FEEDBACK CONTROL
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    Linear optimal control
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    OPTIMAL ESTIMATION
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    QUADRATIC PERFORMANCE INDICES
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    Continuous time systems
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    Covariance matrix
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    Digital control systems
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    Dynamic programming
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    Feedback
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    Feedback control
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    Optimization
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    SYSTEMS ENGINEERING
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    Discrete time control systems