A NEW PROOF OF THE DISCRETE-TIME LQG OPTIMAL-CONTROL THEOREMS

被引：16
|
作者：
DAVIS, MHA
ZERVOS, M
机构：
[1] Department of Electrical and Electronic Engineering, Imperial College
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1995年 / 40卷 / 08期
关键词：
D O I：
10.1109/9.402239
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We present a unifying nea proof for the three discrete-time linear quadratic Gaussian problems (deterministic, stochastic full information, and stochastic partial information) based on pathwise (deterministic) optimization. The essential difference between the control aspect of the three cases is that the controls should lie in different classes of ''admissible controls,'' and we address them as constrained optimization problems using appropriate Lagrange multiplier terms.
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页码：1450 / 1453
页数：4
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