Some properties of solutions to linear-exponential-Gaussian problems
Tadashi Ishihara, K. Abe, Hiroshi Takeda · IEEE Transactions on Automatic Control · 1979
In this correspondence, it is shown that the optimal control gains for the linear-exponential-Gaussian (LEG) problem can be computed without the "future observation program" at each time step. Furthermore, the connection between the closed-loop Optimal (CLO) control and the open-loop feedback optimal (OLFO) control is discussed.