Abstract
A novel Linear Quadratic Gaussian (LQG) control paradigm where the realization of the random disturbance is known at decision time is introduced. A game of chance is played where Nature randomly chooses the disturbance signal and the player, having access to the random disturbance information, employs a feedback/stroboscopic strategy. The closed-form optimal solution is derived and is compared to the solution of the classical LQG problem. Furthermore, the Gaussian assumption is relaxed and the interesting game theoretic interpretation is analyzed.
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© 2009 Birkhäuser Boston
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Pachter, M. (2009). The LQG Game Against Nature. In: Pourtallier, O., Gaitsgory, V., Bernhard, P. (eds) Advances in Dynamic Games and Their Applications. Annals of the International Society of Dynamic Games, vol 10. Birkhäuser Boston. https://doi.org/10.1007/978-0-8176-4834-3_17
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DOI: https://doi.org/10.1007/978-0-8176-4834-3_17
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Publisher Name: Birkhäuser Boston
Print ISBN: 978-0-8176-4833-6
Online ISBN: 978-0-8176-4834-3
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