An extension of the stochastic linear regulator problem

H. Kwakernaak

An extension of the stochastic linear regulator problem

H. Kwakernaak

University of Twente

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187 Downloads (Pure)

Abstract

The stochastic linear regulator problem is extended to cover the case of non-Gaussian white noise. Using martingale theory, it is proved that the linear optimal regulator is also optimal for non-Gaussian white noise.

Original language	Undefined
Pages (from-to)	121-123
Journal	IEEE transactions on automatic control
Volume	19
Issue number	2
Publication status	Published - 1974

Keywords

IR-55599

Access to Document

01100503

Cite this

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title = "An extension of the stochastic linear regulator problem",

abstract = "The stochastic linear regulator problem is extended to cover the case of non-Gaussian white noise. Using martingale theory, it is proved that the linear optimal regulator is also optimal for non-Gaussian white noise.",

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author = "H. Kwakernaak",

year = "1974",

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volume = "19",

pages = "121--123",

journal = "IEEE transactions on automatic control",

issn = "0018-9286",

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number = "2",

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T1 - An extension of the stochastic linear regulator problem

AU - Kwakernaak, H.

PY - 1974

Y1 - 1974

N2 - The stochastic linear regulator problem is extended to cover the case of non-Gaussian white noise. Using martingale theory, it is proved that the linear optimal regulator is also optimal for non-Gaussian white noise.

AB - The stochastic linear regulator problem is extended to cover the case of non-Gaussian white noise. Using martingale theory, it is proved that the linear optimal regulator is also optimal for non-Gaussian white noise.

KW - IR-55599

M3 - Article

SN - 0018-9286

VL - 19

SP - 121

EP - 123

JO - IEEE transactions on automatic control

JF - IEEE transactions on automatic control

IS - 2

ER -