Output Variance–Constrained LQG Control of Discrete-Time Systems
نویسندگان
چکیده
The constrained infinite-horizon LQG control problem can be solved via semidefinite programming if the state-control constraints are given by variance-bounds on linear functions of the state and control input. Given a nonzero initial state covariance matrix, each suboptimal dynamic output feedback controller is initially time-varying but reaches time-invariance after a finite number of time steps. This number of time steps can be determined iteratively via repetitive execution of semidefinite programs.
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