Precise integration method for LQG optimal measurement feedback control problem (Q5932100)

Using a precise integration method, the numerical solution of a linear-quadratic Gaussian (LQG) optimal control problem is considered. The described algorithms are not only appropriate for solving the two-point boundary-value problem and the corresponding Riccati differential equation, but also may be used to obtain the estimated state from the time-varying differential equations. Numerical examples illustrate the high precision and effectiveness of the algorithm, however, the results of calculations are given in the form of plots which are not very legible.