Generalized Linear Quadratic Control
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 specia...
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| Format: | Article |
| Language: | en_US |
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Institute of Electrical and Electronics Engineers
2012
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| Online Access: | http://hdl.handle.net/1721.1/70982 |