A new proof of the discrete-time LQG optimal control theorems

DOI10.1109/9.402239zbMath0833.93060OpenAlexW2148908587MaRDI QIDQ4850491

Mihail Zervos, Mark H. A. Davis

Publication date: 21 November 1995

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.402239

zbMATH Keywords

constrained optimizationdiscrete-timelinear quadratic Gaussian

Mathematics Subject Classification ID

Numerical methods involving duality (49M29) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Linear-quadratic control and information relaxations ⋮ A separation theorem for guaranteed \(H_2\) performance through matrix inequalities ⋮ Separation theorem for linearly constrained LQG optimal control ⋮ Optimal quadratic solution for the non-Gaussian finite-horizon regulator problem ⋮ Unnamed Item

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