We consider the optimal regulator for non-Gaussian discrete-time stochastic systems with a quadratic cost function. We improve the method of [1], where the optimal control is derived from the classical LQG solution by substituting the linear filtering part with a quadratic optimal filter. In this paper we delete the unobservable part of the augmented state space, thus guaranteeing the internal stability of the resulting closed-loop system.
Optimal reduced-order quadratic solution for the non-Gaussian finite-horizon regulator problem / Cacace, Filippo; Fasano, Antonio; Germani, Alfredo; Monteriu', Andrea. - ELETTRONICO. - (2013), pp. 3085-3090. (Intervento presentato al convegno 52nd IEEE Conference on Decision and Control, CDC 2013 tenutosi a Florence, ita nel 2013) [10.1109/CDC.2013.6760353].
Optimal reduced-order quadratic solution for the non-Gaussian finite-horizon regulator problem
MONTERIU', Andrea
2013-01-01
Abstract
We consider the optimal regulator for non-Gaussian discrete-time stochastic systems with a quadratic cost function. We improve the method of [1], where the optimal control is derived from the classical LQG solution by substituting the linear filtering part with a quadratic optimal filter. In this paper we delete the unobservable part of the augmented state space, thus guaranteeing the internal stability of the resulting closed-loop system.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
