Generalized Linear Quadratic Control
We consider the problem of stochastic finite- and infinite-horizon linear quadratic control under power constraints. The calculations of the optimal control law can be done off-line as in the classical linear quadratic Gaussian control theory using dynamic programming, which turns out to be a specia...
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| Format: | Article |
| Language: | English |
| Published: |
Institute of Electrical and Electronics Engineers,
2012-06-01T15:39:35Z.
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| Online Access: | Get fulltext |
| Summary: | We consider the problem of stochastic finite- and infinite-horizon linear quadratic control under power constraints. The calculations of the optimal control law can be done off-line as in the classical linear quadratic Gaussian control theory using dynamic programming, which turns out to be a special case of the new theory developed in this technical note. A numerical example is solved using the new methods. |
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