The Role and Use of the Stochastic Linear-quadratic-Gaussian Problem in Control System Design

Authors

Michael Athans

Year

1971

Journal Paper

Algorithm

LQG Design Method

Source

IEEE Transactions on Automatic Control

Identifiers

DOI 10.1109/TAC.1971.1099818

Abstract¶

The role of the linear-quadratic stochastic control problem in engineering design is reviewed in tutorial fashion. The design approach is motivated by considering the control of a non-linear uncertain plant about a desired input-output response. It is demonstrated how a design philosophy based on 1) deterministic perturbation control, 2) stochastic state estimation, and 3) linearized stochastic control leads to an overall closed-loop control system. The emphasis of the paper is on the philosophy of the design process, the modeling issue, and the formulation of the problem; the results are given for the sake of completeness, but no proofs are included. The systematic off-line nature of the design process is stressed throughout.

Summary¶

Athans presents the stochastic linear-quadratic-Gaussian problem as an engineering design philosophy: linearize around a desired trajectory, estimate the state stochastically, and synthesize a linear stochastic controller. The paper is a tutorial bridge between LQR, Kalman filtering, and practical offline control-system design.