Linearly Constrained Lq and Lqg Optimal Control
نویسندگان
چکیده
It has recently been shown that the logarithmic barrier method for solving nite-dimensional, linearly constrained quadratic optimization problems can be extended to an innnite-dimensional setting with complexity estimates similar to the nite dimensional case. As a consequence, an eecient computational method for solving the linearly constrained LQ control problem is now a vailable. In this paper, we solve the linearly constrained LQG control problem by generalizing the Separation Theorem. We show h o w the logarithmic barrier method can be used to determine the optimal control for the constrained LQG problem.
منابع مشابه
Separation Theorem for Linearly Constrained
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.
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