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LQG optimal control of discrete stochastic systems under parametric and noise uncertainties |
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| Authors: | Feng-Hsiag Hsiao Sheng-Dong Xu Gwo-Chuan Lee |
| Institution: | a Department of Electronic Engineering, National University of Tainan, No. 33, Section 2, Shu Lin Street, Tainan 700, Taiwan, R.O.C. b Department of Electrical and Control Engineering, National Chiao Tung University, No. 1001, Ta Hsueh Road, Hsinchu 30010, Taiwan, R.O.C. c Department of Computer Science and Information Engineering, Chang Gung University, Kwei San, Taoyuan County 333, Taiwan, R.O.C. d Department of Computer Science and Information Engineering, National United University, No. 1, Lien Da, Kung Ching Li, Miaoli 360, Taiwan, R.O.C. |
| Abstract: | In this paper, the linear-quadratic-Gaussian (LQG) optimal control problem is considered and a robust minimax controller composed of the Kalman filter and the optimal regulator is synthesized to guarantee the asymptotic stability of the discrete time-delay systems under both parametric uncertainties and uncertain noise covariances. Designed procedures are finally elaborated with an illustrative example. |
| Keywords: | LQG optimal control Minimax controller Kalman filter |
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