We consider the optimal regulator for nonGaussian discrete-time stochastic systems with a quadratic cost function. We improve the method of [1], where the optimal control is derived from the classical LQG solution by substituting the linear filtering part with a quadratic optimal filter. In this paper we delete the unobservable part of the augmented state space, thus guaranteeing the internal stability of the resulting closed-loop system.

Optimal Reduced-Order Quadratic Solution for the non-Gaussian Finite-Horizon Regulator Problem

CACACE F;
2013-01-01

Abstract

We consider the optimal regulator for nonGaussian discrete-time stochastic systems with a quadratic cost function. We improve the method of [1], where the optimal control is derived from the classical LQG solution by substituting the linear filtering part with a quadratic optimal filter. In this paper we delete the unobservable part of the augmented state space, thus guaranteeing the internal stability of the resulting closed-loop system.
2013
978-1-4673-5716-6
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12610/15598
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