A quasi-separation theorem for LQG optimal control with IQ constraints

DOI10.1016/S0167-6911(97)00058-3zbMath0901.93075OpenAlexW2181011494MaRDI QIDQ1390843

John B. Moore, Andrew E. B. Lim

Publication date: 22 July 1998

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(97)00058-3

zbMATH Keywords

duality theoryintegral quadratic constraintsseparation theoremLQG optimal controlpartial observationoptimization theorygradient optimization algorithms

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

Related Items

Indefinite stochastic optimal LQR control with cross term under IQ constraints., Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach, Multiple-objective risk-sensitive control and its small noise limit

Uses Software

• MISER3

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Separation theorem for linearly constrained LQG optimal control
• MISER3:Solving optimal control problems—an update
• On the Separation Theorem of Stochastic Control
• Convex Programming and Duality in Normed Space