Optimal Stationary Control with State and Control Dependent Noise¶
Authors: U. G. Haussmann
Published: 1971 (Journal Paper)
Source: SIAM Journal on Control
Algorithm: Multiplicative Noise LQR
DOI: 10.1137/0309016
Summary¶
Generalizes stochastic LQR to linear systems where noise depends on both the state and the control input, deriving modified Riccati equations for the optimal stationary feedback law. Extends the results of Wonham (1967) to the control-dependent noise case.
Abstract¶
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Tags¶
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Stochastic control
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Multiplicative noise
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State-dependent noise
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Control-dependent noise
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Algebraic Riccati equation
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Optimal control