Print Email Facebook Twitter Optimal controller/observer gains of discounted-cost LQG systems Title Optimal controller/observer gains of discounted-cost LQG systems Author Bijl, H.J. (TU Delft Control & Simulation) Schön, Thomas B. (Uppsala University) Date 2019 Abstract The linear–quadratic-Gaussian (LQG) control paradigm is well-known in literature. The strategy of minimizing the cost function is available, both for the case where the state is known and where it is estimated through an observer. The situation is different when the cost function has an exponential discount factor, also known as a prescribed degree of stability. In this case, the optimal control strategy is only available when the state is known. This paper builds onward from that result, deriving an optimal control strategy when working with an estimated state. Expressions for the resulting optimal expected cost are also given. Subject Cost functionLinear systemsLQGOptimal controlRiccati equation To reference this document use: http://resolver.tudelft.nl/uuid:06aa02a5-7a98-42cd-883c-504fc93a65dc DOI https://doi.org/10.1016/j.automatica.2018.12.040 Embargo date 2021-02-04 ISSN 0005-1098 Source Automatica, 101, 471-474 Bibliographical note Accepted Author Manuscript Part of collection Institutional Repository Document type journal article Rights © 2019 H.J. Bijl, Thomas B. Schön Files PDF OptimalLQG.pdf 408.37 KB Close viewer /islandora/object/uuid:06aa02a5-7a98-42cd-883c-504fc93a65dc/datastream/OBJ/view