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Discounted linear exponential quadratic Gaussian control

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2 Author(s)
Hansen, L.P. ; Chicago Univ., IL, USA ; Sargent, T.J.

In this note, we describe a recursive formulation of discounted costs for a linear quadratic exponential Gaussian linear regulator problem which implies time-invariant linear decision rules in the infinite horizon case. Time invariance in the discounted case is attained by surrendering state-separability of the risk-adjusted costs

Published in:

Automatic Control, IEEE Transactions on  (Volume:40 ,  Issue: 5 )

Date of Publication:

May 1995

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