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On Optimal Stationary Control of Systems with State Dependent Noise

Authors

Rajendra S. Rana, A. K. Mahalanabis

Year

1975

Algorithm

State-Dependent Noise LQR

Source

IEEE Transactions on Automatic Control

Identifiers

DOI 10.1109/TAC.1975.1101056

Abstract¶

This note proposes a simplified existence criterion for the linear quadratic optimal control law for systems with state dependent noise.

Summary¶

Rana and Mahalanabis refine existence criteria for optimal stationary linear-quadratic control of systems with state-dependent noise. The note sits in the line of multiplicative-noise LQR results, simplifying conditions under which an optimal stationary control law exists.

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