An extension of the stochastic linear regulator problem
Open Access
- 1 April 1974
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 19 (2) , 121-123
- https://doi.org/10.1109/tac.1974.1100503
Abstract
The stochastic linear regulator problem is extended to cover the case of non-Gaussian white noise. Using martingale theory, it is proved that the linear optimal regulator is also optimal for non-Gaussian white noise.Keywords
This publication has 3 references indexed in Scilit:
- Ecole d'Été de Probabilités: Processus StochastiquesPublished by Springer Nature ,1973
- Optimal Control of Systems With Generalized Poisson InputsJournal of Basic Engineering, 1963
- Optimal Control of Continuous Time, Markov, Stochastic Systems†Journal of Electronics and Control, 1961