Optimal reduced-order quadratic solution for the non-Gaussian finite-horizon regulator problem
Filippo Cacace, Antonio Fasano, Alfredo Germani, Andrea Monteriù · 2013
We consider the optimal regulator for non-Gaussian discrete-time stochastic systems with a quadratic cost function. We improve the method of [1], where the optimal control is derived from the classical LQG solution by substituting the linear filtering part with a quadratic optimal filter. In this paper we delete the unobservable part of the augmented state space, thus guaranteeing the internal stability of the resulting closed-loop system.