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Generalized Linear Quadratic Control

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1 Author(s)
Gattami, A. ; Lab. for Inf. & Decision Syst., Massachusetts Inst. of Technol., Cambridge, MA, USA

We consider the problem of stochastic finite- and infinite-horizon linear quadratic control under power constraints. The calculations of the optimal control law can be done off-line as in the classical linear quadratic Gaussian control theory using dynamic programming, which turns out to be a special case of the new theory developed in this technical note. A numerical example is solved using the new methods.

Published in:

Automatic Control, IEEE Transactions on  (Volume:55 ,  Issue: 1 )