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Type: Journal article
Title: Optimal linear-quadratic-Gaussian control for discrete-time linear systems with white and time-correlated measurement Noises
Author: Liu, W.
Shi, P.
Xie, X.
Yue, D.
Fei, S.
Citation: Optimal Control Applications and Methods, 2021; :1-20
Publisher: Wiley
Issue Date: 2021
ISSN: 0143-2087
Statement of
Wei Liu, Peng Shi, Xiangpeng Xie, Dong Yue, Shumin Fei
Abstract: This article is concerned with the optimal linear-quadratic-Gaussian control problem for discrete-time linear systems corrupted by white and time-correlated measurement noises. First, an optimal predictor for the system under consideration is proposed. Then, an optimal controller is designed, which minimizes an expected loss by a control strategy where the control is a function of measurement sequence. The novelty of this article is that a new sequence instead of the original measurement sequence is used to obtain the optimal control scheme where the element in the new sequence is derived from measurement differencing. A verification example is given to illustrate the effectiveness of the developed new design method.
Keywords: Linear-quadratic-Gaussian; optimal control; time-correlated noise
Description: First published: 06 May 2021 OnlinePubl
Rights: © 2021 John Wiley & Sons Ltd.
RMID: 1000040762
DOI: 10.1002/oca.2734
Grant ID:
Appears in Collections:Mathematical Sciences publications

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