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A simple method for solving the LQG stochastic control problem using a polynomial approach

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Abstract

The paper presents a simple method for solving the optimal (LQG) control problem on an infinite time horizon for linear plants described by proper rational transfer function matrices. Since the class of proper plants discussed in the paper is more general than the one commonly used, additional properties of solutions are presented. Two numerical examples illustrate the theoretical considerations. The examples have been performed on an IBM PC using the proposed algorithm. This algorithm is a part of a public ASMCS package developed by the author for analysis, synthesis, and simulations of multi-input, multi-output (MIMO) control systems.

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Authors and Affiliations

  1. Institute of Control Engineering, Technical University of Szczecin, ul. Gen. Sikorskiego 37, Poland

    S. Bańka

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  1. S. Bańka
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Additional information

This work was partially supported by the Polish Ministry of National Education under Grant DNS-T/02/085/90-2 and by the Polish Scientific Research Committee under Grant No. 45-0105/14-05.

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Bańka, S. A simple method for solving the LQG stochastic control problem using a polynomial approach. Circuits Systems and Signal Process 14, 57–67 (1995). https://doi.org/10.1007/BF01183748

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  • DOI: https://doi.org/10.1007/BF01183748

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