LQG control under amplitude and variance constraints
نویسندگان
چکیده
In this paper, the amplitude and variance-constrained LQG control is considered for a plant given by discretetime ARMAX model. The minimization of constrained quadratic cost is approached by Kalman filter, approximation of the probability density function (pdf) of the state by the Gaussian one and by by tuning of the Lagrange multiplier. The obtained optimization algorithm is simulated for second-order stable plant model and different constraints.
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