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Cost function calculation for stationary, linear-quadratic systems with colored noise

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1 Author(s)
Y. Narkis ; Dept. of Aerosp. Eng., San Diego State Univ., CA, USA

A relation is developed for direct calculation of the cost function for an optimally controlled linear system with quadratic criteria, distributed by a colored noise of any given spectral density distribution

Published in:

IEEE Transactions on Automatic Control  (Volume:37 ,  Issue: 11 )