Optimal quadratic solution for the non-Gaussian finite-horizon regulator problem

Authors
Germani, A Mavelli, G
Citation
A. Germani et G. Mavelli, Optimal quadratic solution for the non-Gaussian finite-horizon regulator problem, SYST CONTR, 38(4-5), 1999, pp. 321-331
Citations number
21
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
SYSTEMS & CONTROL LETTERS
ISSN journal
01676911 → ACNP
Volume
38
Issue
4-5
Year of publication
1999
Pages
321 - 331
Database
ISI
SICI code
0167-6911(199912)38:4-5<321:OQSFTN>2.0.ZU;2-Y
Abstract
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.