Linear-quadratic-gaussian control with one-step-delay sharing pattern
BEN-ZION KURTARAN, Raphael Sivan · IEEE Transactions on Automatic Control · 1974
The optimal control of discrete-time, linear-quadratic-Gaussian systems with one-step-delay sharing information pattern is considered. The optimal controller is shown to obey a certain "separation" property. Furthermore explicit discrete-time equations are derived whose solutions are the gains of the optimal controller.