DocumentCode
778088
Title
Discounted linear exponential quadratic Gaussian control
Author
Hansen, Lars Peter ; Sargent, Thomas J.
Author_Institution
Chicago Univ., IL, USA
Volume
40
Issue
5
fYear
1995
fDate
5/1/1995 12:00:00 AM
Firstpage
968
Lastpage
971
Abstract
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
Keywords
linear quadratic Gaussian control; discounted costs; discounted linear exponential quadratic Gaussian control; linear regulator; recursive formulation; risk-adjusted costs; state-separability; time-invariant linear decision rules; Algebra; Continuous wavelet transforms; Cost function; Covariance matrix; Difference equations; Infinite horizon; Regulators; Riccati equations; Statistics; Vectors;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.384242
Filename
384242
Link To Document