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

Ainikkal, Shaiju JohnyPetersen, Ian Richard2026-07-032026-07-0397839026610051474-6670ORCID:/0000-0003-4856-9450/work/219177558https://hdl.handle.net/1885/733812328This 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.enStochastic controlA formula for the optimal cost in the general discrete-time LEQG problem200810.3182/20080706-5-KR-1001.060979961018023