A quasi-separation theorem for LQG optimal control with IQ constraints

✍ Scribed by Andrew E.B. Lim; John B. Moore

• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 722 KB
• Volume: 32
• Category: Article
• ISSN: 0167-6911
• DOI: 10.1016/s0167-6911(97)00058-3

✦ Synopsis

We consider the de~:erministic, the full observation and the partial observation LQG optimal control problems with finitely many IQ (integral quadratic!) constraints, and show that Wohnam's famous Separation Theorem for stochastic control has a generalization to this case. Although the problems of filtering and control are not independent, we show that the interdependelace of these two problems is so superficial that in effect, they are problems which can be treated separately. It is in this context that the label Quasi-Separation Theorem is to be understood. We conclude with a discussion of compatation issues and show how gradient-type optimization algorithms can be used to solve these problems. In this way, a systematic computation algorithm is derived.