Abstract
The problem of linear-quadratic Gaussian control of multivariable linear stochastic systems with uncertain second-order statistical properties is considered. Uncertainty is modeled by allowing process and observation noise spectral density matrices to vary arbitrarily within given classes, and a minimax control formulation is applied to the quadratic objective functional. General theorems proving the existence and characterization of saddle-point solutions to this problem are presented, and the relationship of these results to earlier results on minimax state estimation are discussed.
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References
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© 1982 Springer-Verlag
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Looze, D.P., Poor, H.V., Vastola, K.S., Darragh, J.C. (1982). On linear-quadratic-Gaussian control of systems with uncertain statistics. In: Drenick, R.F., Kozin, F. (eds) System Modeling and Optimization. Lecture Notes in Control and Information Sciences, vol 38. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0006163
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DOI: https://doi.org/10.1007/BFb0006163
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