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Generalized Linear Quadratic Control
KTH, School of Electrical Engineering (EES), Automatic Control.
2010 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 55, no 1, 131-136 p.Article in journal (Refereed) Published
Abstract [en]

We consider the problem of stochastic finite- and 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.

Place, publisher, year, edition, pages
2010. Vol. 55, no 1, 131-136 p.
Keyword [en]
Linear quadratic control
National Category
Control Engineering
URN: urn:nbn:se:kth:diva-29072DOI: 10.1109/TAC.2009.2033736ISI: 000273609300012ScopusID: 2-s2.0-75449106142OAI: diva2:392433
QC 20110127Available from: 2011-01-27 Created: 2011-01-25 Last updated: 2011-01-27Bibliographically approved

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