Extended optimality properties of the linear quadratic regulator and stationary Kalman filter
- 7 January 2003
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- p. 1218-1219 vol.2
- https://doi.org/10.1109/cdc.1989.70328
Abstract
Results are presented showing that the constant-gain state-feedback solution to the infinite-time linear quadratic regulator problem is optimal not only for arbitrary initial conditions or white noise disturbances, but also for worst case L/sup 1/ disturbances. Similarly, in the stationary Kalman filter, the white disturbance and measurement noise can be replaced by unknown bounded energy signals, and optimality still holds if the performance criterion is a time-domain L/sup infinity / norm of the state estimation errors in the presence of worst case energy signals.Keywords
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