Title :
Discounted linear exponential quadratic Gaussian control
Author :
Hansen, Lars Peter ; Sargent, Thomas J.
Author_Institution :
Chicago Univ., IL, USA
fDate :
5/1/1995 12:00:00 AM
Abstract :
In this note, we describe a recursive formulation of discounted costs for a linear quadratic exponential Gaussian linear regulator problem which implies time-invariant linear decision rules in the infinite horizon case. Time invariance in the discounted case is attained by surrendering state-separability of the risk-adjusted costs
Keywords :
linear quadratic Gaussian control; discounted costs; discounted linear exponential quadratic Gaussian control; linear regulator; recursive formulation; risk-adjusted costs; state-separability; time-invariant linear decision rules; Algebra; Continuous wavelet transforms; Cost function; Covariance matrix; Difference equations; Infinite horizon; Regulators; Riccati equations; Statistics; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
