Discrete time LQG controls with control dependent noise

Systems and Control Letters

Volumn 36, Issue 3, 1999, Pages 199-206

  Moore, John B ^a   Zhou, Xun Yu ^b   Lim, Andrew E B ^c  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^c UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000016416     PISSN: 01676911     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6911(98)00092-9     Document Type: Article

References (6)

1. B.D.O. Anderson, J.B. Moore, Optimal Filtering, Prentice-Hall, Englewood Cliffs, NJ, 1978.
2. B.D.O. Anderson, J.B. Moore, Optimal Control: Linear Quadratic Methods, Prentice-Hall, Englewood Cliffs, NJ, 1989.
3. S.P. Chen, X.J. Li, X.Y. Zhou, Stochastic linear quadratic regulators with indefinite control weight costs, SIAM J. Control Optim. 36 (1998) 1685-1702.
4. M.H.A. Davis, Linear Estimation and Stochastic Control, Chapman & Hall, London, 1977.
5. R.J. Elliott, L. Aggoun, J.B. Moore, Hidden Markov Models: Estimation and Control, Springer, Berlin, 1995.
6. A.E.B. Lim, X.Y. Zhou, Optimal stochastic LQR control with integral quadratic constraints and indefinite control weights, IEEE Trans. Automat. Control, to appear.