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Optimal Stationary Control of a Linear System with State-Dependent Noise

Authors: W. M. Wonham

Published: 1967 (Journal Paper)

Source: SIAM Journal on Control

Algorithm: State-Dependent Noise LQR

DOI: 10.1137/0305028

Summary

Extends LQR to linear systems subject to multiplicative (state-dependent) Gaussian noise, deriving a modified algebraic Riccati equation whose stabilizing solution yields the optimal stationary feedback gain. Establishes existence and uniqueness conditions and lays the groundwork for stochastic LQR theory.

Abstract

Primary

Paper epubs.siam.org

Standard

DOI 10.1137/0305028

Tags

  • Stochastic control

  • Linear systems

  • State-dependent noise

  • Multiplicative noise

  • Algebraic Riccati equation

  • Optimal control