Polynomial Filtering for Linear Discrete Time Non-Gaussian Systems
SIAM Journal on Control and Optimization
SIAM Journal on Control and Optimization
Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
SIAM Journal on Control and Optimization
A New Suboptimal Approach to the Filtering Problem for Bilinear Stochastic Differential Systems
SIAM Journal on Control and Optimization
Dynamic Programming and Stochastic Control
Dynamic Programming and Stochastic Control
Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
SIAM Journal on Control and Optimization
Automatica (Journal of IFAC)
Hi-index | 22.15 |
The stochastic regulation problem for linear systems with state- and control-dependent noise and a noisy linear output equation is considered. The optimal quadratic cost output-feedback control law in a class of linear controllers is found. This problem was first addressed in the early 1970s and solved, in the complete information case, by Wonham. In this paper we give the solution of the problem in the incomplete information case, that is, for a linear output equation corrupted by Gaussian noise. Moreover, a different method is used here, giving the solution in a more direct way even in the complete information case.