학술논문
Closed-loop optimal control law for discrete-time LQG problems with a mean-variance objective
Document Type
Conference
Author
Source
2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601) Decision and control Decision and Control, 2004. CDC. 43rd IEEE Conference on. 3:2291-2296 Vol.3 2004
Subject
Language
ISSN
0191-2216
Abstract
The classical linear-quadratic Gaussian problem is reexamined in this paper with a purpose to better control the dispersion of its randomly valued performance index. A closed-loop optimal control law is derived for discrete time linear-quadratic Gaussian problems with a mean-variance objective, by developing a nested form of the variance and using nonlinear mathematical programming as a solution scheme.