Extensions of quadratic minimisation theory: the discrete-time case

نویسنده

  • J. B. Moore
چکیده

A covariance condition is shown to be a necessary condition for the existence of a finite control law associated with discrete-time quadratic loss-minimisation problems. Sufficient conditions (including the covariance condition) are then determined which extend the range of optimal-control problems, for which a well defined control law may be calculated. The results may also be applied to solving problems in filtering and stability theory.

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تاریخ انتشار 1996