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Discrete-time LQG Controls with Control Dependent Noise

Moore, John; Zhou, Xun; Lim, Andrew

Description

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]

dc.contributor.authorMoore, John
dc.contributor.authorZhou, Xun
dc.contributor.authorLim, Andrew
dc.date.accessioned2015-12-13T23:35:31Z
dc.identifier.issn0167-6911
dc.identifier.urihttp://hdl.handle.net/1885/93949
dc.description.abstractThis 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 include terms bilinear in the noise and states/controls and are significantly more accurate than if the bilinear terms are set to zero. The controllers are calculated by solving a generalized discrete time Riccati equation, which in turn has properties relating to well posedness of the associated LQG problem.
dc.publisherElsevier
dc.sourceSystems and Control Letters
dc.titleDiscrete-time LQG Controls with Control Dependent Noise
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume36
dc.date.issued1999
local.identifier.absfor010203 - Calculus of Variations, Systems Theory and Control Theory
local.identifier.ariespublicationMigratedxPub25387
local.type.statusPublished Version
local.contributor.affiliationMoore, John, College of Engineering and Computer Science, ANU
local.contributor.affiliationZhou, Xun, University of Washington
local.contributor.affiliationLim, Andrew, College of Engineering and Computer Science, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue3
local.bibliographicCitation.startpage199
local.bibliographicCitation.lastpage206
dc.date.updated2015-12-12T09:40:19Z
local.identifier.scopusID2-s2.0-0000016416
CollectionsANU Research Publications

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