Precise integration method for LQG optimal measurement feedback control problem

DOI10.1007/BF02459220MaRDI QIDQ5932100zbMATH OpenOpenAlexFDO

Authors Wan-xie Zhong, Zhiqin Cai

Publication date 10 March 2002

Published in Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02459220

zbMATH Keywords

integration methodlinear-quadratic Gaussian optimal controlnumerical solution

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Review text

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.

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Cites work

• scientific article; zbMATH DE number 4167172 (Why is no real title available?)
• scientific article; zbMATH DE number 1324395 (Why is no real title available?)
• scientific article; zbMATH DE number 1474965 (Why is no real title available?)
• State-space solutions to standard H/sub 2/ and H/sub infinity / control problems

Cited in

(2)

• RI-IGABEM based on PIM in transient heat conduction problems of FGMs
• Describing function method with pointwise balancing in time domain for periodic responses of non-smooth self-excited system

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