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Separation theorem for linearly constrained LQG optimal control |
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| Authors: | Andrew E.B. Lim John B. Moore Leonid Faybusovich |
| Affiliation: | aDepartment of Systems Engineering, Research School of Information Sciences and Engineering, Australian National University, Canberra, ACT 0200, Australia;bDepartment of Mathematics, University of Notre Dame, Mail Distribution Center, Notre Dame, IN 46556, USA |
| Abstract: | We solve the linearly constrained linear-quadratic (LQ) and linear-quadratic-Gaussian (LQG) optimal control problems. Closed-form expressions of the optimal controls are derived, and the Separation Theorem is generalized. |
| Keywords: | Optimal control Linear constraints LQ control LQG control Separation Theorem |
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