Determination of the penalty constant for discrete constrained linear quadratic gaussian controller design

DOI10.1080/00207729108910650zbMATH Open0725.93089OpenAlexW2082257575MaRDI QIDQ5202952FDOQ5202952

Authors: Ky M. Vu 

Publication date: 1991

Published in: International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729108910650

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zbMATH Keywords

numerical methodsKuhn-Tucker theoremsingle-input single-output systemsconstrained linear quadratic gaussian controller

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Constrained linear quadratic Gaussian control with process applications
• Linear time series variance

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