Title :
Exponential linear quadratic optimal control with discounting
Author :
Hopkins, William E., Jr.
Author_Institution :
Dept. of Electr. & Comput. Eng., Drexel Univ., Philadelphia, PA, USA
fDate :
1/1/1994 12:00:00 AM
Abstract :
A direct derivation of the solution of the discounted exponential linear quadratic Gaussian optimal control problem is presented. Some extensions to partial observations problems are also given. The solution involves time-varying Riccati equations, providing an example of an infinite horizon, constant coefficient, regulator problem with a time-varying optimal control
Keywords :
optimal control; time-varying systems; discounted exponential linear quadratic Gaussian optimal control; infinite horizon constant coefficient regulator problem; partial observations; time-varying Riccati equations; time-varying optimal control; Closed-form solution; Cost function; Differential equations; Gaussian processes; Infinite horizon; Optimal control; Regulators; Riccati equations; Statistical distributions; Symmetric matrices;
Journal_Title :
Automatic Control, IEEE Transactions on
