Output Feedback Control for Irregular LQ Problem
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Publication:6318862
arXiv1905.06605MaRDI QIDQ6318862FDOQ6318862
Authors: Juanjuan Xu, Huanshui Zhang 
Publication date: 16 May 2019
Abstract: In this paper, we study the irregular output feedback linear quadratic (LQ) control problem, which is a continuous work of previous works for irregular LQ control [33] where the state is assumed to be exactly known priori. Different from the classic output feedback LQ control problem, the cost function must be modified to guarantee the solvability. In the framework of the modified cost function, it is shown that the separation principle holds and the explicitly optimal controller is given in the feedback form of the Kalman filtering. In particular, the feedback gain is calculated by two Riccati equations independently of the Kalman filtering. The key technique is the "two-layer optimization" approach. We also emphasize that the optimal controller at the terminal time is required to be deterministic.
Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)
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