The LQG-Problem: A Brief Tutorial Exposition

  • Jan C. Willems
Conference paper
Part of the NATO Advanced Study Institutes Series book series (ASIC, volume 78)


The purpose of this article is to provide a brief tutorial exposition of the formal setting, the main ideas, and the formulas for the linear quadratic gaussian stochastic optimal control problem (the so-called LQG-problem).


Kalman Filter Open Loop Control Gaussian Random Vector Signal Flow Graph Discrete Time Case 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© D. Reidel Publishing Company 1981

Authors and Affiliations

  • Jan C. Willems
    • 1
  1. 1.Mathematics InstituteGroningenThe Netherlands

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