Title :
Finite-dimensional exponential LQG control
Author :
Aggoun, Lakhdar ; Elliott, Robert J. ; Bensoussan, Alain ; Moore, John B.
Author_Institution :
Dept. of Stat. & Appl. Probability, Alberta Univ., Edmonton, Alta., Canada
fDate :
29 June-1 July 1994
Abstract :
A discrete-time partially observed LQG control problem, with exponential quadratic running cost is considered. The dynamics are linear though the control may enter nonlinearly. Explicit solutions for a forward Zakai equation and a backward adjoint equation are derived. This enables the problem to be expressed in terms of observable, finite dimensional dynamics. A separation principle is obtained.
Keywords :
discrete time systems; linear quadratic Gaussian control; multidimensional systems; backward adjoint equation; discrete-time partially observed LQG control; exponential quadratic running cost; finite-dimensional exponential LQG control; forward Zakai equation; linear dynamics; observable finite-dimensional dynamics; separation principle; Books; Costs; Councils; Filtration; Nonlinear equations; Probability; Robustness; Statistics; Stochastic processes; Systems engineering and theory;
Conference_Titel :
American Control Conference, 1994
Print_ISBN :
0-7803-1783-1
DOI :
10.1109/ACC.1994.752311
