Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case

DOI10.1016/J.AUTOMATICA.2006.09.010MaRDI QIDQ883365zbMATH OpenOpenAlexFDO

Authors Francesco Carravetta, Gabriella Mavelli

Publication date 4 June 2007

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2006.09.010

zbMATH Keywords

regulationstochastic controlsuboptimal controlnon-Gaussian processesfiltering theoryfeedback systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Feedback control (93B52) Control/observation systems with incomplete information (93C41)

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• On a Matrix Riccati Equation of Stochastic Control
• On contiguity of probability measures corresponding to semimartingales
• On the Separation Theorem of Stochastic Control
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• Optimal risk and dividend control for a company with a debt liability
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• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Stochastic Optimal Control with Noisy Observations †
• The matrix minimum principle
• The polynomial approach to the LQ non-Gaussian regulator problem

Cited in

(8)

• Discrete-time indefinite stochastic LQ control via SDP and LMI methods
• Survey of duality between linear quadratic regulation and linear estimation problems for discrete-time systems
• scientific article; zbMATH DE number 503096 (Why is no real title available?)
• Stochastic linear quadratic regulation for discrete-time linear systems with input delay
• On LQG control of linear stochastic systems with control dependent noise
• A stochastic optimal regulator for a class of nonlinear systems
• On the Linear Quadratic Gaussian Problem with Correlated Noise and Its Relation to Minimum Variance Control
• Indefinite LQ control for discrete-time stochastic systems via semidefinite programming

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