Discounted cost linear quadratic Gaussian control for descriptor systems
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Abstract: We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of this problem using a linear matrix inequality. In particular, conditions for existence and uniqueness of optimal controls are derived, which are weaker compared to the standard approaches in the literature. We further show that also for the stochastic problem, the optimal control is given in terms of the stabilizing solution of the Lur'e equation, which generalizes the algebraic Riccati equation.
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Cited in
(6)- Optimal controller/observer gains of discounted-cost LQG systems
- Discounted linear exponential quadratic Gaussian control
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