Solution of some nonclassical LQG stochastic decision problems
NILS R. SANDELL, Michael Athans · IEEE Transactions on Automatic Control · 1974
This paper considers stochastic problems in team theory. In particular, the linearity of the optimal control laws for the one-step delay linear quadratic Gaussian (LQG) stochastic control problem is established, and explicit formulae are presented. In addition, the control sharing, nonstatic, nonclassical LQG problem is solved.