Title :
Separation theorem for linearly constrained LQG optimal control - a continuous time case
Author :
Lim, Andrew E B ; Moore, John B. ; Faybusovich, Leonid
Author_Institution :
Dept. of Syst. Eng., Australian Nat. Univ., Canberra, ACT, Australia
Abstract :
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
Keywords :
constraint theory; continuous time systems; linear quadratic Gaussian control; linear systems; quadratic programming; LQG optimal control; continuous time systems; deterministic linear system; interior point method; linear integral constraints; linear-quadratic control; linear-quadratic-Gaussian control; quadratic programming; Computer aided software engineering; Constraint theory; Convergence; Mathematics; Optimal control; Postal services; Stochastic processes; Strain control; Systems engineering and theory; Vectors;
Conference_Titel :
Decision and Control, 1996., Proceedings of the 35th IEEE Conference on
Conference_Location :
Kobe
Print_ISBN :
0-7803-3590-2
DOI :
10.1109/CDC.1996.577430
