Mean and variance of the LQG cost function

DOI10.1016/j.automatica.2016.01.030zbMath1335.93141arXiv1602.02524OpenAlexW2294511813MaRDI QIDQ259452

Hildo Bijl, Jan-Willem van Wingerden, Thomas B. Schön, Verhaegen, Michel

Publication date: 11 March 2016

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.02524

zbMATH Keywords

linear systemsLyapunov equationmatrix algebraLQG controlprobability density functionlinear quadratic regulators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (3)

Discounted-cost linear quadratic regulation of switched linear systems ⋮ Optimal controller/observer gains of discounted-cost LQG systems ⋮ Discounted cost linear quadratic Gaussian control for descriptor systems

Uses Software

• AS 155
• Algorithm 432

Cites Work

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• Advances in statistical control, algebraic systems theory, and dynamic systems characteristics. A tribute to Michael K. Sain
• Stochastic differential equations. An introduction with applications
• Introduction to stochastic control theory
• Statistical Control for Performance Shaping Using Cost Cumulants
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Computing integrals involving the matrix exponential
• Algorithm 432 [C2: Solution of the matrix equation AX + XB = C [F4]]
• Distribution of the time-average power of a Gaussian process
• Mathematical Analysis of Random Noise

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