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

DOI10.1016/J.AUTOMATICA.2009.06.029zbMath1179.93172OpenAlexW1975618297MaRDI QIDQ1049118

A. J. Shaiju, Ian R. Petersen

Publication date: 8 January 2010

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2009.06.029

zbMATH Keywords

dynamic programmingdiscrete-time systemsoptimal estimationdynamic output feedback controllinear optimal controlquadratic performance indices

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

Related Items (2)

Low frequency approximation for a class of linear quantum systems using cascade cavity realization ⋮ Event-triggered minimax state estimation with a relative entropy constraint

Cites Work

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• Model Simplification and Optimal Control of Stochastic Singularly Perturbed Systems under Exponentiated Quadratic Cost
• Optimization of stochastic linear systems with additive measurement and process noise using exponential performance criteria
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

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