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Optimal selection of observation times in the linear-quadratic Gaussian control problem (1983)

Longman, R. W. ; Cooper, C. A.

Springer

Journal of optimization theory and applications 39 (1983), S. 47-58

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ISSN: 1573-2878

Keywords: Observation cost ; quadratic cost ; LQG problems ; optimal observation times

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics

Notes: Abstract Feedback control is sometimes applied to a dynamic system operating in a stochastic environment under circumstances where only a limited number of observations can be made. The optimal positioning of ana priori fixed number of observations is considered. A direct approach to this problem yields a dynamic programming functional equation, while a second approach involving an ancillary observation cost leads to a rapid and practical numerical solution.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF00934604

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