Mean and variance of the LQG cost function

DOI10.1016/J.AUTOMATICA.2016.01.030zbMATH Open1335.93141arXiv1602.02524OpenAlexW2294511813MaRDI QIDQ259452FDOQ259452

Authors: Hildo Bijl, Jan-Willem van Wingerden, Thomas B. Schön, Michel Verhaegen 

Publication date: 11 March 2016

Published in: Automatica (Search for Journal in Brave)

Abstract: Linear Quadratic Gaussian (LQG) systems are well-understood and methods to minimize the expected cost are readily available. Less is known about the statistical properties of the resulting cost function. The contribution of this paper is a set of analytic expressions for the mean and variance of the LQG cost function. These expressions are derived using two different methods, one using solutions to Lyapunov equations and the other using only matrix exponentials. Both the discounted and the non-discounted cost function are considered, as well as the finite-time and the infinite-time cost function. The derived expressions are successfully applied to an example system to reduce the probability of the cost exceeding a given threshold.

Full work available at URL: https://arxiv.org/abs/1602.02524

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zbMATH Keywords

probability density functionlinear systemslinear quadratic regulatorsLQG controlLyapunov equationmatrix algebra

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Cites Work

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Cited In (4)

• Optimal controller/observer gains of discounted-cost LQG systems
• Discounted-cost linear quadratic regulation of switched linear systems
• Optimal control of LQG problem with an explicit trade-off between mean and variance
• Discounted cost linear quadratic Gaussian control for descriptor systems

Uses Software

• AS 155
• Algorithm 432

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