Reduced order LQG controllers for linear time varying plants

The problem of reduced-order LQG (linear quadratic Gaussian) optimization is addressed in a finite-horizon, linear time-varying system setting. First-order necessary conditions for local optimality in the parameter space are provided in terms of four coupled matrix differential equations. This result provides a transparent generalization of the optimal projection equations of Hyland and Bernstein for the optimal, steady-state compensation of linear time-invariant plants.<
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