The singular linear quadratic Gaussian control problem

A.A. Stoorvogel

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Abstract

In this paper we discuss the standard LQG control problem for linear, finite-dimensional time-invariant systems without any assumptions on the system parameters. We give an explicit formula for the infimum over all internally stabilizing strictly proper compensators and give a characterization when the infimum is attained. Keywords: LQG control, algebraic lliccati equation, linear matrix inequality.
Original languageEnglish
Place of PublicationEindhoven
PublisherTechnische Universiteit Eindhoven
Number of pages16
Publication statusPublished - 1990

Publication series

NameMemorandum COSOR
Volume9043
ISSN (Print)0926-4493

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  • Cite this

    Stoorvogel, A. A. (1990). The singular linear quadratic Gaussian control problem. (Memorandum COSOR; Vol. 9043). Eindhoven: Technische Universiteit Eindhoven.