DISCOUNTED LINEAR EXPONENTIAL QUADRATIC GAUSSIAN CONTROL

Authors
HANSEN LP SARGENT TJ
Citation
Lp. Hansen et Tj. Sargent, DISCOUNTED LINEAR EXPONENTIAL QUADRATIC GAUSSIAN CONTROL, IEEE transactions on automatic control, 40(5), 1995, pp. 968-971
Citations number
15
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control","Engineering, Eletrical & Electronic
Journal title
IEEE transactions on automatic control → ACNP
ISSN journal
00189286
Volume
40
Issue
5
Year of publication
1995
Pages
968 - 971
Database
ISI
SICI code
0018-9286(1995)40:5<968:DLEQGC>2.0.ZU;2-R
Abstract
In this note, we describe a recursive formulation of discounted costs for a linear quadratic exponential Gaussian linear regulator problem w hich implies time-invariant linear decision rules in the infinite hori zon case. Time invariance in the discounted case is attained by surren dering state-separability of the risk-adjusted costs.