Title :
Generalized Linear Quadratic Control
Author_Institution :
Lab. for Inf. & Decision Syst., Massachusetts Inst. of Technol., Cambridge, MA, USA
Abstract :
We consider the problem of stochastic finite- and infinite-horizon linear quadratic control under power constraints. The calculations of the optimal control law can be done off-line as in the classical linear quadratic Gaussian control theory using dynamic programming, which turns out to be a special case of the new theory developed in this technical note. A numerical example is solved using the new methods.
Keywords :
dynamic programming; linear quadratic control; stochastic processes; Gaussian control theory; dynamic programming; optimal control law; power constraints; stochastic finite-horizon linear quadratic control; stochastic infinite-horizon linear quadratic control; Channel capacity; Control theory; Distributed control; Dynamic programming; Gaussian channels; Linear feedback control systems; Optimal control; State feedback; Stochastic processes; Symmetric matrices; Linear quadratic control;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2009.2033736
