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

DOI10.1016/j.automatica.2009.06.029zbMath1179.93172MaRDI 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 programming; discrete-time systems; optimal estimation; dynamic output feedback control; linear optimal control; quadratic performance indices

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93C55: Discrete-time control/observation systems

93E10: Estimation and detection in stochastic control theory

93E20: Optimal stochastic control

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