Stochastic optimal control problems can in principle be solved by stochastic dynamic programming. We pay special attention to the LQG problem where the system is linear, the cost function is quadratic, and the random variables have Gaussian distributions. The optimal controller is given by the LQG feedback law where the unobserved state is replaced by the Kalman filter estimate.
KeywordsOutput Feedback Feedback Gain Stochastic Control Optimal Controller Stochastic Dynamic Programming
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