Generalized Linear Quadratic Control


We consider the problem of stochastic finiteand 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.

DOI: 10.1109/TAC.2009.2033736

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@article{Gattami2010GeneralizedLQ, title={Generalized Linear Quadratic Control}, author={Ather Gattami}, journal={IEEE Trans. Automat. Contr.}, year={2010}, volume={55}, pages={131-136} }