Optimal quadratic solution for the non-Gaussian finite-horizon regulator problem

DOI10.1016/S0167-6911(99)00069-9zbMath0985.93055WikidataQ127227047 ScholiaQ127227047MaRDI QIDQ5958823

Alfredo Germani, Gabriella Mavelli

Publication date: 3 March 2002

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

zbMATH Keywords

discrete-time systemsstochastic controlRiccati equationsseparation principlenonlinear filteringLQG optimal controlnon-Gaussian systemsquadratic optimal filter

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Related Items

Quadratic estimation from uncertain observations with white plus coloured noises using covariance information, Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case, Second-order polynomial estimators from uncertain observations using covariance information, Feedback polynomial filtering and control of non-Gaussian linear time-varying systems

Cites Work

• Unnamed Item
• Closed-form solutions to discrete-time LQ optimal control and disturbance attenuation
• Stochastic models, estimation, and control. Vol. 2,3
• New method for optimal control and filtering of weakly coupled linear discrete stochastic systems
• Minimax control of linear stochastic systems with noise uncertainty
• Minimax linear observers and regulators for stochastic systems with uncertain second-order statistics
• A control scheme for a class of discrete nonlinear stochastic systems
• Relationships between several novel control schemes proposed for a class of non-linear stochastic systems
• Explicit solution to the singular LQ regulation problem
• Optimal controllers for finite wordlength implementation
• Quadratic weights for asymptotic regulator properties
• Polynomial Filtering for Linear Discrete Time Non-Gaussian Systems
• Optimal quadratic filtering of linear discrete-time non-Gaussian systems
• A new proof of the discrete-time LQG optimal control theorems
• Polynomial LQG regulator design for general system configurations
• On the Separation Theorem of Stochastic Control