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Stochastic Control: Optimal Projection Equations, Linear-Quadratic-Gaussian Control, Markov Decision Process

Stochastic Control: Optimal Projection Equations, Linear-Quadratic-Gaussian Control, Markov Decision Process


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About the Book

Chapters: Optimal Projection Equations, Linear-Quadratic-Gaussian Control, Markov Decision Process, Partially Observable Markov Decision Process, Merton's Portfolio Problem, Hamilton-jacobi-bellman Equation, Robust Control, Separation Principle. Source: Wikipedia. Pages: 46. Not illustrated. Free updates online. Purchase includes a free trial membership in the publisher's book club where you can select from more than a million books without charge. Excerpt: In control, the Linear-Quadratic-Gaussian (LQG) control problem is probably the most fundamental optimal control problem. It concerns uncertain linear systems disturbed by additive white Gaussian noise, incomplete state information (i.e. not all the state variables are measured and available for feedback) also disturbed by additive white Gaussian noise and quadratic costs. Moreover the solution is unique and constitutes a linear dynamic feedback control law that is easily computed and implemented. Finally the LQG controller is also fundamental to the optimal perturbation control of non-linear systems . The LQG controller itself is a dynamic system like the system it controls. Both systems have the same state dimension. Therefore implementing the LQG controller may be problematic if the dimension of the system state is large. The reduced-order LQG problem (fixed-order LQG problem) overcomes this by fixing a-priori the number of states of the LQG controller. This problem is more difficult to solve because it is no longer separable. Also the solution is no longer unique. Despite these facts numerical algorithms are available to solve the associated optimal projection equations which constitute necessary and sufficient conditions for a locally optimal reduced-order LQG controller . The Reduced-order LQG control problem is almost identical to the conventional full-order LQG control problem. Let represent the state of the reduced-order LQG controller. Then the only difference...More: http: //booksllc.net/?id=1729526


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Product Details
  • ISBN-13: 9781155722818
  • Publisher: Books LLC
  • Publisher Imprint: Books LLC
  • Height: 152 mm
  • Sub Title: Optimal Projection Equations, Linear-Quadratic-Gaussian Control, Markov Decision Process
  • Width: 229 mm
  • ISBN-10: 1155722817
  • Publisher Date: 15 Sep 2010
  • Binding: Paperback
  • Spine Width: 3 mm
  • Weight: 82 gr


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