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

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Date

2008

Authors

Ainikkal, Shaiju Johny
Petersen, Ian Richard

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Research Projects

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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.

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Keywords

Stochastic control

Citation

URI

https://hdl.handle.net/1885/733812328

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ANU Research Publications

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Type

Conference paper

Book Title

Proceedings of the 17th World Congress, International Federation of Automatic Control, IFAC

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Publication

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DOI

10.3182/20080706-5-KR-1001.0609

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