Title :
A new proof of the discrete-time LQG optimal control theorems
Author :
Davis, Mark H A ; Zervos, Mihail
Author_Institution :
Dept. of Electr. Eng., Imperial Coll. of Sci., Technol. & Med., London, UK
fDate :
8/1/1995 12:00:00 AM
Abstract :
Presents a unifying new proof for the three discrete-time linear quadratic Gaussian problems (deterministic, stochastic full information, and stochastic partial information) based on pathwise (deterministic) optimization. The essential difference between the control aspect of the three cases is that the controls should lie in different classes of “admissible controls”, and the authors address them as constrained optimization problems using appropriate Lagrange multiplier terms
Keywords :
discrete time systems; linear quadratic Gaussian control; linear systems; optimisation; Lagrange multiplier; admissible controls; constrained optimization; deterministic; deterministic optimization; discrete-time LQG optimal control; linear quadratic Gaussian problems; pathwise optimization; stochastic full information; stochastic partial information; Constraint optimization; Costs; Covariance matrix; Electric variables control; Extraterrestrial measurements; Lagrangian functions; Optimal control; Process control; Riccati equations; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
