A formula for the optimal cost in the general discrete-time LEQG problem

被引：1
|
作者：
Shaiju, A. J. [1 ]
Petersen, I. R. [2 ]
机构：
[1] Indian Inst Technol, Dept Math, Madras 600036, Tamil Nadu, India
[2] Univ New S Wales, Australian Def Force Acad, Sch Informat Technol & Elect Engn, Canberra, ACT 2600, Australia
来源：
AUTOMATICA | 2009年 / 45卷 / 10期
基金：
澳大利亚研究理事会;
关键词：
Linear optimal control; Discrete-time systems; Optimal estimation; Quadratic performance indices; Dynamic output feedback control; Dynamic programming; STOCHASTIC LINEAR-SYSTEMS;
D O I：
10.1016/j.automatica.2009.06.029
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper is aimed at deriving an explicit formula for the optimal cost for discrete-time linear exponential-of-quadratic Gaussian (LEQG) control problems. We make direct calculations for the general case with cross terms in the cost and noise covariance matrices using an information-state approach (C) 2009 Elsevier Ltd. All rights reserved.
引用
收藏
页码：2419 / 2426
页数：8
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