LQG optimal control of discrete stochastic systems under parametric and noise uncertainties

Abstract

In this paper, the linear-quadratic-Gaussian (LQG) optimal control problem is considered and a robust minimax controller composed of the Kalman filter and the optimal regulator is synthesized to guarantee the asymptotic stability of the discrete time-delay systems under both parametric uncertainties and uncertain noise covariances. Designed procedures are finally elaborated with an illustrative example. (c) 2006 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.