In this paper, the problem of the optimal quadratic regulator for non-Gaussian discrete-time stochastic systems with a quadratic cost function is considered. The main result here obtained is that such optimal control can be derived from the classical LQG solution by substituting the linear filtering part with a quadratic optimal filter. Numerical results show high performance of this method. (C) 1999 Elsevier Science B.V. All rights reserved.
Optimal quadratic solution for the non-Gaussian finite-horizon regulator problem
GERMANI, Alfredo;
1999-01-01
Abstract
In this paper, the problem of the optimal quadratic regulator for non-Gaussian discrete-time stochastic systems with a quadratic cost function is considered. The main result here obtained is that such optimal control can be derived from the classical LQG solution by substituting the linear filtering part with a quadratic optimal filter. Numerical results show high performance of this method. (C) 1999 Elsevier Science B.V. All rights reserved.File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
