A twofold spline approximation for finite horizon LQG control of hereditary systems (Q2706151)

An approximation scheme is developed for the solution to the linear quadratic Gaussian control on a finite time interval for hereditary systems with multiple noncommensurate delays and distributed delay. The authors consider the solution to approximate the Riccati equation for control and the solution to approximate the filtering equations. They prove the convergence of the approximated control law to the optimal control. In particular, simulation results are reported on a wind tunnel model, showing the high performance of the method.