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.File in questo prodotto:
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