The solution of the infinite horizon tracking problem for discrete time system possessing an exogenous component
The system considered is linear and possesses an exogenous component. The cost functional is a quadratic tracking equation over an infinite time horizon with positive semidefinite weighting matrices such that a weighted sum of these matrices is positive definite. The infinite planning horizon minimum variance cost criterion and the linear quadratic regulator are special cases.
scientific article; zbMATH DE number 4191365