Optimal Projection Equations
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Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In control, the Linear-Quadratic-Gaussian (LQG) control problem is probably the most fundamental optimal control problem. It concerns uncertain linear systems disturbed by additive white Gaussian noise, incomplete state information (i.e. not all the state variables are measured and available for feedback) also disturbed by additive white Gaussian noise and quadratic costs. Moreover the solution is unique and constitutes a linear dynamic feedback control law that is ea...
Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In control, the Linear-Quadratic-Gaussian (LQG) control problem is probably the most fundamental optimal control problem. It concerns uncertain linear systems disturbed by additive white Gaussian noise, incomplete state information (i.e. not all the state variables are measured and available for feedback) also disturbed by additive white Gaussian noise and quadratic costs. Moreover the solution is unique and constitutes a linear dynamic feedback control law that is easily computed and implemented. Finally the LQG controller is also fundamental to the optimal perturbation control of non-linear systems .
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