LQG optimal control of discrete stochastic systems under parametric and noise uncertainties

Feng Hsiag Hsiao; Sheng Dong Xu; Shih Lin Wu; Gwo Chuan Lee

doi:10.1016/j.jfranklin.2006.02.038

LQG optimal control of discrete stochastic systems under parametric and noise uncertainties

Feng Hsiag Hsiao^*
, Sheng Dong Xu
, Shih Lin Wu
, Gwo Chuan Lee

^*Corresponding author for this work

Department of Computer Science and Information Engineering

Research output: Contribution to journal › Journal Article › peer-review

18 Scopus citations

Abstract

In this paper, the linear-quadratic-Gaussian (LQG) optimal control problem is considered and a robust minimax controller composed of the Kalman filter and the optimal regulator is synthesized to guarantee the asymptotic stability of the discrete time-delay systems under both parametric uncertainties and uncertain noise covariances. Designed procedures are finally elaborated with an illustrative example.

Original language	English
Pages (from-to)	279-294
Number of pages	16
Journal	Journal of the Franklin Institute
Volume	343
Issue number	3
DOIs	https://doi.org/10.1016/j.jfranklin.2006.02.038
State	Published - 05 2006

Keywords

Kalman filter
LQG optimal control
Minimax controller

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10.1016/j.jfranklin.2006.02.038

Cite this

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title = "LQG optimal control of discrete stochastic systems under parametric and noise uncertainties",

abstract = "In this paper, the linear-quadratic-Gaussian (LQG) optimal control problem is considered and a robust minimax controller composed of the Kalman filter and the optimal regulator is synthesized to guarantee the asymptotic stability of the discrete time-delay systems under both parametric uncertainties and uncertain noise covariances. Designed procedures are finally elaborated with an illustrative example.",

keywords = "Kalman filter, LQG optimal control, Minimax controller",

author = "Hsiao, \{Feng Hsiag\} and Xu, \{Sheng Dong\} and Wu, \{Shih Lin\} and Lee, \{Gwo Chuan\}",

year = "2006",

month = may,

doi = "10.1016/j.jfranklin.2006.02.038",

language = "英语",

volume = "343",

pages = "279--294",

journal = "Journal of the Franklin Institute",

issn = "0016-0032",

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T1 - LQG optimal control of discrete stochastic systems under parametric and noise uncertainties

AU - Hsiao, Feng Hsiag

AU - Xu, Sheng Dong

AU - Wu, Shih Lin

AU - Lee, Gwo Chuan

PY - 2006/5

Y1 - 2006/5

N2 - In this paper, the linear-quadratic-Gaussian (LQG) optimal control problem is considered and a robust minimax controller composed of the Kalman filter and the optimal regulator is synthesized to guarantee the asymptotic stability of the discrete time-delay systems under both parametric uncertainties and uncertain noise covariances. Designed procedures are finally elaborated with an illustrative example.

AB - In this paper, the linear-quadratic-Gaussian (LQG) optimal control problem is considered and a robust minimax controller composed of the Kalman filter and the optimal regulator is synthesized to guarantee the asymptotic stability of the discrete time-delay systems under both parametric uncertainties and uncertain noise covariances. Designed procedures are finally elaborated with an illustrative example.

KW - Kalman filter

KW - LQG optimal control

KW - Minimax controller

UR - https://www.scopus.com/pages/publications/33746220073

U2 - 10.1016/j.jfranklin.2006.02.038

DO - 10.1016/j.jfranklin.2006.02.038

M3 - 文章

AN - SCOPUS:33746220073

SN - 0016-0032

VL - 343

SP - 279

EP - 294

JO - Journal of the Franklin Institute

JF - Journal of the Franklin Institute

IS - 3

ER -

LQG optimal control of discrete stochastic systems under parametric and noise uncertainties

Abstract

Keywords

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