On Feedback Control of Linear Stochastic Systems

@article{Lindquist1973OnFC,
  title={On Feedback Control of Linear Stochastic Systems},
  author={A. Lindquist},
  journal={Siam Journal on Control},
  year={1973},
  volume={11},
  pages={323-343}
}
  • A. Lindquist
  • Published 1973
  • Mathematics
  • Siam Journal on Control
Feedback control of linear continuous-time stochastic systems of general type is discussed. Various types of (classical) information patterns with both complete and partial observations (white and colored measurement noise) are considered. The cost functional is quadratic. A class of admissible control laws is defined which includes all linear and nonlinear control policies for which our problem makes sense, i.e., existence, uniqueness etc. are secured. Then, we determine the optimal control… Expand

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