Linear Quadratic Gaussian
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In control theory, the linear-quadratic-Gaussian (LQG) control problem is one of the most fundamental optimal control problems. It concerns uncertain linear systems disturbed by additive white Gaussian noise, having incomplete state information (i.e. not all the state variables are measured and available for feedback) and undergoing control subject to quadratic cost functional|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 is simply the combination of a Kalman filter i.e. a linear-quadratic estimator (LQE) with a linear-quadratic regulator (LQR). The separation principle guarantees that these can be designed and computed independently. LQG control applies to both LTI systems|linear time-invariant systems as well as linear time-varying systems. The application to linear...
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