@inproceedings{2ee043c2b28744eba76337cae6c6076e,
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 the discrete-time linear exponentialof-quadratic Gaussian (LEQG) control problem. The paper considers the general case with cross terms in the cost and noise covariance matrices. The result is applicable to discrete time minimax LQG and state estimation problems.",
keywords = "Stochastic control",
author = "Ainikkal, \{Shaiju Johny\} and Petersen, \{Ian Richard\}",
year = "2008",
doi = "10.3182/20080706-5-KR-1001.0609",
language = "English",
isbn = "9783902661005",
series = "IFAC Proceedings Volumes (IFAC-PapersOnline)",
number = "1 PART 1",
booktitle = "Proceedings of the 17th World Congress, International Federation of Automatic Control, IFAC",
edition = "1 PART 1",
note = "17th World Congress, International Federation of Automatic Control, IFAC ; Conference date: 06-07-2008 Through 11-07-2008",
}