Predictive and LQG Optimal Control: Equivalences, Differences and Improvements
The LQG feedback optimal control, extended for the case of preprogrammed setpoint sequence, is compared with open-loop optimal Predictive control (GPC) . It is proved that, for any linear stochastic model (with possible time delay), the first control input within the receding control horizon is the same for both cases.
KeywordsDynamic Programming Kalman Filter State Estimate Joint Probability Distribution Positive Definiteness
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