A separation theorem for the stochastic sampled-data LQG problem†

This paper considers the control of a continuous linear plant disturbed by white plant noise when the control is constrained to be a piecewise constant function of time: i.e. a stochastic sampled-data system. The cost function is the integral of quadratic error terms in the state and control, thus penalizing errors at every instant of time while the plant noise disturbs the system continuously. The problem is solved by reducing the constrained continuous problem to an unconstrained discrete one. It is shown that the separation principle for estimation and control still holds for this problem when the plant disturbance and measurement noise are Gaussian.