Title :
Solution of some nonclassical LQG stochastic decision problems
Author :
Sandell, Nils R., Jr. ; Athans, Michael
Author_Institution :
Massachusetts Institute of Technology, Cambridge, MA, USA
fDate :
4/1/1974 12:00:00 AM
Abstract :
This paper considers stochastic problems in team theory. In particular, the linearity of the optimal control laws for the one-step delay linear quadratic Gaussian (LQG) stochastic control problem is established, and explicit formulae are presented. In addition, the control sharing, nonstatic, nonclassical LQG problem is solved.
Keywords :
Large-scale systems; Optimal stochastic control; Stochastic optimal control; Team theory; Control theory; Cost function; Delay lines; Design engineering; Large-scale systems; Linearity; Optimal control; Stochastic processes; Stochastic systems; Systems engineering and theory;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1974.1100498
