A new proof of the discrete-time LQG optimal control theorems

Author

Davis, Mark H A ; Zervos, Mihail

Author_Institution

Dept. of Electr. Eng., Imperial Coll. of Sci., Technol. & Med., London, UK

Volume

40

Issue

8

fYear

1995

fDate

8/1/1995 12:00:00 AM

Firstpage

1450

Lastpage

1453

Abstract

Presents a unifying new proof for the three discrete-time linear quadratic Gaussian problems (deterministic, stochastic full information, and stochastic partial information) based on pathwise (deterministic) optimization. The essential difference between the control aspect of the three cases is that the controls should lie in different classes of “admissible controls”, and the authors address them as constrained optimization problems using appropriate Lagrange multiplier terms

Keywords

discrete time systems; linear quadratic Gaussian control; linear systems; optimisation; Lagrange multiplier; admissible controls; constrained optimization; deterministic; deterministic optimization; discrete-time LQG optimal control; linear quadratic Gaussian problems; pathwise optimization; stochastic full information; stochastic partial information; Constraint optimization; Costs; Covariance matrix; Electric variables control; Extraterrestrial measurements; Lagrangian functions; Optimal control; Process control; Riccati equations; Stochastic processes;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.402239

Filename

402239