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

DOI10.1137/0329007MaRDI QIDQ3977036zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ARMAX systemslinear quadratic Gaussian problem

Mathematics Subject Classification ID

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

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(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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