partially observed linear quadratic Gaussian models
On LQG control of linear stochastic systems with control dependent noise
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].
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