In this paper, the problem of the optimal quadratic regulator for non-Gauss
ian discrete-time stochastic systems with a quadratic cost function is cons
idered. The main result here obtained is that such optimal control can be d
erived from the classical LQG solution by substituting the linear filtering
part with a quadratic optimal filter. Numerical results show high performa
nce of this method. (C) 1999 Elsevier Science B.V. All rights reserved.