Anticipative LQG Control
- 1 September 1989
- journal article
- Published by Oxford University Press (OUP) in IMA Journal of Mathematical Control and Information
- Vol. 6 (3) , 259-265
- https://doi.org/10.1093/imamci/6.3.259
Abstract
The continuous-time LQG problem with complete state observation is solved in the ‘clairvoyant’ case when control is based on knowledge of the complete past and future of the noise. This allows us to compute explicitly the expected value of perfect information, i.e. the reduction in average cost that is possible if the usual nonanticipativity constraint on the controls is waived.Keywords
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