Information fusion based solving method for linear quadratic optimal control problem

A new solving method based on information fusion estimation (IFE) for linear quadratic optimal control problem is proposed in this paper. According to information fusion estimation theory, by fusing the hard constraint information of system dynamic equation and the soft constraint information of the desired state/output information from the quadratic performance index function, an estimation of the costate sequence is achieved. By fusing the costate information and the constraint information of the control sequence from the quadratic performance index function, an estimation of the optimal control law is obtained. Based on this method, an information fusion state regulator and an information fusion tracker are deduced, the computational results of which are identical to the traditional solving methods through the theoretical analysis.