Linear-Quadratic Fractional Gaussian Control

@article{Duncan2013LinearQuadraticFG,
  title={Linear-Quadratic Fractional Gaussian Control},
  author={Tyrone E. Duncan and Bozenna Pasik-Duncan},
  journal={SIAM J. Control and Optimization},
  year={2013},
  volume={51},
  pages={4504-4519}
}
In this paper a control problem for a linear stochastic system driven by a noise process that is an arbitrary zero mean, square integrable stochastic process with continuous sample paths and a cost functional that is quadratic in the system state and the control is solved. An optimal control is given explicitly as the sum of the well-known linear feedback control for the associated deterministic linear-quadratic control problem and the prediction of the response of a system to the future noise… CONTINUE READING

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