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)

Abstract

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).

Keywords

Covariance Estima 

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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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