On the Linear Quadratic Gaussian Problem with Correlated Noise and Its Relation to Minimum Variance Control

DOI10.1137/0329007zbMATH Open0744.93100OpenAlexW2136900521MaRDI QIDQ3977036FDOQ3977036

Authors: Raymond H. Kwong 

Publication date: 25 June 1992

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0329007

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zbMATH Keywords

ARMAX systemslinear quadratic Gaussian problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

Cited In (3)

• Relationship between åström control and the kalman linear regulator—caines revisited
• Optimal linear‐quadratic‐Gaussian control for discrete‐time linear systems with white and time‐correlated measurement Noises
• Minimum output variance control for FSN models: Continuous-time case

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