On LQG control of linear stochastic systems with control dependent noise
type: Item
instance of: scholarly article
zbMATH Open document ID: 0980.93081
author: John Moore
author: Andrew Lim
author: Xun Yu Zhou
publication date: 2001-05-06T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93B18
zbMATH DE Number: 1594450
zbMATH Keywords: bilinear measurement
zbMATH Keywords: partially observed linear quadratic Gaussian models
zbMATH Keywords: linearizations
zbMATH Keywords: discrete-time Riccati-equation
MaRDI profile type: Publication
title: On LQG control of linear stochastic systems with control dependent noise
review text: This paper announces initial results of studies on partially observed linear quadratic Gaussian models where the stochastic disturbances depend on states and control. The measurement is bilinear in the noise and states/controls. Suboptimal linear state estimate feedback laws are derived based on certain linearizations. The controllers are useful for nonlinear stochastic systems where linearized models including terms bilinear in noise and state/control are significantly more accurate than if these terms are set to zero. These controllers are calculated by solving a generalized discrete-time Riccati-equation. The properties of this equation are discussed.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00050].
reviewed by: Klaus Ehemann
description: scientific article