Separation theorem for linearly constrained LQG optimal control

Systems and Control Letters

Volumn 28, Issue 4, 1996, Pages 227-235

  Lim, Andrew E B ^a   Moore, John B ^a   Faybusovich, Leonid ^b  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b UNIVERSITY OF NOTRE DAME   (United States)

Author keywords

Linear constraints; LQ control; LQG control; Optimal control; Separation Theorem

Indexed keywords

EID: 0010650018     PISSN: 01676911     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-6911(96)00035-7     Document Type: Article

References (8)

1. B.D.O. Anderson and J.B. Moore, Optimal Control: Linear Quadratic Methods (Prentice-Hall, Englewood Cliffs, NJ, 1989).
2. B.D.O. Anderson and J.B. Moore, Optimal Filtering (Prentice-Hall, Englewood Cliffs, NJ, 1979).
3. A.V. Balakrishnan, Applied Functional Analysis (Springer, New York, 1976).
4. M.H.A. Davis and M. Zervos, A new proof of the discrete-time LQG optimal control theorems, IEEE Trans. Automat. Control 40 (1995) 1450-1453.
5. L. Faybusovich, Coordinate-free simplex method, Cybernetics 20 (1984) 124-130.
6. L. Faybusovich and J.B. Moore, A long-step path-following algorithm for the convex quadratic programming problem in a Hilbert space, Proc. 34th IEEE Conf. on Decision and Control.
7. A.E.B. Lim, J.B. Moore and L. Faybusovich, Linearly constrained LQ and LQG optimal control, Proc. 13th IFAC World Congress, to appear.
8. W.M. Wonham, On the separation theorem of stochastic control, SIAM J. Control (1968) 312-326.