The LQG Game Against Nature
Meir N. Pachter · Annals of the International Society of Dynamic Games · 2009
A novel Linear Quadratic Gaussian (LQG) control paradigm where the realization of the random disturbance is known at decision time is introduced. A game of chance is played where Nature randomly chooses the disturbance signal and the player, having access to the random disturbance information, employs a feedback/stroboscopic strategy. The closed-form optimal solution is derived and is compared to the solution of the classical LQG problem. Furthermore, the Gaussian assumption is relaxed and the interesting game theoretic interpretation is analyzed.