On the Linear Quadratic Gaussian Problem with Correlated Noise and Its Relation to Minimum Variance Control

DOI10.1137/0329007zbMath0744.93100OpenAlexW2136900521MaRDI QIDQ3977036

Raymond H. Kwong

Publication date: 25 June 1992

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0329007

zbMATH Keywords

ARMAX systemslinear quadratic Gaussian problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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