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eess.SY2017
Optimal controller/observer gains of discounted-cost LQG systems
Hildo Bijl, Thomas B. Schön
The linear-quadratic-Gaussian (LQG) control paradigm is well-known in literature. The strategy of minimizing the cost function is available, both for the case where the state is kn…
eess.SY2016★ 6 cited
Mean and variance of the LQG cost function
Hildo Bijl, Jan Willem van Wingerden, Thomas B. Schön +1
Linear Quadratic Gaussian (LQG) systems are well-understood and methods to minimize the expected cost are readily available. Less is known about the statistical properties of the r…