Optimal reduced-order quadratic solution for the non-Gaussian finite-horizon regulator problem

Author

Cacace, Filippo ; Fasano, Antonio ; Germani, Alfredo ; Monteriu, Andrea

Author_Institution

Univ. Campus Bio-Medico di Roma, Rome, Italy

fYear

2013

fDate

10-13 Dec. 2013

Firstpage

3085

Lastpage

3090

Abstract

We consider the optimal regulator for non-Gaussian discrete-time stochastic systems with a quadratic cost function. We improve the method of [1], where the optimal control is derived from the classical LQG solution by substituting the linear filtering part with a quadratic optimal filter. In this paper we delete the unobservable part of the augmented state space, thus guaranteeing the internal stability of the resulting closed-loop system.

Keywords

closed loop systems; discrete time systems; linear quadratic Gaussian control; reduced order systems; stability; state-space methods; stochastic systems; augmented state space; classical LQG solution; closed-loop system; internal stability; linear filtering part; nonGaussian discrete-time stochastic systems; nonGaussian finite-horizon regulator problem; optimal control; optimal reduced-order quadratic solution; optimal regulator; quadratic cost function; quadratic optimal filter; Equations; Kalman filters; Mean square error methods; Noise; Observability; Optimal control; Regulators;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control (CDC), 2013 IEEE 52nd Annual Conference on

Conference_Location

Firenze

ISSN

0743-1546

Print_ISBN

978-1-4673-5714-2

Type

conf

DOI

10.1109/CDC.2013.6760353

Filename

6760353