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Optimal controller/observer gains of discounted-cost LQG systems
Delft University of Technology.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Systems and Control. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Automatic control.ORCID iD: 0000-0001-5183-234X
2019 (English)In: Automatica, ISSN 0005-1098, E-ISSN 1873-2836, Vol. 101, p. 471-474Article in journal (Refereed) Published
Abstract [en]

The linear-quadratic-Gaussian (LQG) control paradigm is well-known in literature. The strategy of minimizing the cost function is available, both for the case where the state is known and where it is estimated through an observer. The situation is different when the cost function has an exponential discount factor, also known as a prescribed degree of stability. In this case, the optimal control strategy is only available when the state is known. This paper builds onward from that result, deriving an optimal control strategy when working with an estimated state. Expressions for the resulting optimal expected cost are also given. 

Place, publisher, year, edition, pages
Elsevier, 2019. Vol. 101, p. 471-474
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:uu:diva-368617DOI: 10.1016/j.automatica.2018.12.040ISI: 000458941700052OAI: oai:DiVA.org:uu-368617DiVA, id: diva2:1268440
Funder
Swedish Research Council, 621-2016-06079Swedish Foundation for Strategic Research , RIT15-0012Available from: 2018-12-05 Created: 2018-12-05 Last updated: 2019-03-11Bibliographically approved

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