NDLI: A computationally efficient optimal solution to the LQG discrete time dual control problem

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A computationally efficient optimal solution to the LQG discrete time dual control problem

Content Provider	IEEE Xplore Digital Library
Author	Sebald, A.V.
Copyright Year	1978
Description	Author affiliation: University of California at San Diego, La Jolla, California (Sebald, A.V.)
Abstract	A computationally attractive optimal solution to the discrete time linear quadratic Gaussian (LQG) dual control problem in the absence of plant noise is presented. Convex vector parametric uncertainties are allowed and no a priori information is assumed save that the uncertain vector is an element of a known compact subset of IRP. It is shown that game theoretic techniques are useful provided an incremental quadratic loss function is chosen. The optimal solution is easily implemented since it is an average of a finite number of LQG controllers weighted by easily generated likelihood ratios. Furthermore, the structure lends itself easily to near optimal designs and to approximate solutions to the time varying parameter case.
Starting Page	1160
Ending Page	1165
File Size	436639
Page Count	6
File Format	PDF
DOI	10.1109/CDC.1978.268117
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1979-01-10
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Optimal control Game theory Intelligent control Stability
Content Type	Text
Resource Type	Article

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