A new proof of the discrete-time LQG optimal control theorems

Presents a unifying new proof for the three discrete-time linear quadratic Gaussian problems (deterministic, stochastic full information, and stochastic partial information) based on pathwise (deterministic) optimization. The essential difference between the control aspect of the three cases is that the controls should lie in different classes of "admissible controls", and the authors address them as constrained optimization problems using appropriate Lagrange multiplier terms.<
>