A formula for the optimal cost in the general discrete-time LEQG problem

A. J. Shaiju; I. R. Petersen

doi:10.1016/j.automatica.2009.06.029

A formula for the optimal cost in the general discrete-time LEQG problem

A. J. Shaiju^*, I. R. Petersen

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

This paper is aimed at deriving an explicit formula for the optimal cost for discrete-time linear exponential-of-quadratic Gaussian (LEQG) control problems. We make direct calculations for the general case with cross terms in the cost and noise covariance matrices using an information-state approach.

Original language	English
Pages (from-to)	2419-2426
Number of pages	8
Journal	Automatica
Volume	45
Issue number	10
DOIs	https://doi.org/10.1016/j.automatica.2009.06.029
Publication status	Published - Oct 2009
Externally published	Yes

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10.1016/j.automatica.2009.06.029

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title = "A formula for the optimal cost in the general discrete-time LEQG problem",

abstract = "This paper is aimed at deriving an explicit formula for the optimal cost for discrete-time linear exponential-of-quadratic Gaussian (LEQG) control problems. We make direct calculations for the general case with cross terms in the cost and noise covariance matrices using an information-state approach.",

keywords = "Discrete-time systems, Dynamic output feedback control, Dynamic programming, Linear optimal control, Optimal estimation, Quadratic performance indices",

author = "Shaiju, {A. J.} and Petersen, {I. R.}",

year = "2009",

month = oct,

doi = "10.1016/j.automatica.2009.06.029",

language = "English",

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AU - Shaiju, A. J.

AU - Petersen, I. R.

PY - 2009/10

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N2 - This paper is aimed at deriving an explicit formula for the optimal cost for discrete-time linear exponential-of-quadratic Gaussian (LEQG) control problems. We make direct calculations for the general case with cross terms in the cost and noise covariance matrices using an information-state approach.

AB - This paper is aimed at deriving an explicit formula for the optimal cost for discrete-time linear exponential-of-quadratic Gaussian (LEQG) control problems. We make direct calculations for the general case with cross terms in the cost and noise covariance matrices using an information-state approach.

KW - Discrete-time systems

KW - Dynamic output feedback control

KW - Dynamic programming

KW - Linear optimal control

KW - Optimal estimation

KW - Quadratic performance indices

UR - http://www.scopus.com/inward/record.url?scp=70049085108&partnerID=8YFLogxK

U2 - 10.1016/j.automatica.2009.06.029

DO - 10.1016/j.automatica.2009.06.029

M3 - Article

SN - 0005-1098

VL - 45

SP - 2419

EP - 2426

JO - Automatica

JF - Automatica

IS - 10

ER -

A formula for the optimal cost in the general discrete-time LEQG problem

Abstract

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