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Discrete-time LQG Controls with Control Dependent Noise

Moore, John; Zhou, Xun; Lim, Andrew


This paper presents some studies on partially observed linear quadratic Gaussian (LQG) models where the stochastic disturbances depend on both the states and the controls, and the measurements are bilinear in the noise and the states/controls. While the Separation Theorem of standard LQG design does not apply, suboptimal linear state estimate feedback controllers are derived based on certain linearizations. The controllers are useful for nonlinear stochastic systems where the linearized models...[Show more]

CollectionsANU Research Publications
Date published: 1999
Type: Journal article
Source: Systems and Control Letters


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