A general transfer-function approach to the steady-state linear quadratic Gaussian stochastic control problem

摘要: A comprehensive treatment of the steady-state linear quadratic Gaussian stochastic control problem which is based on transfer-function point view presented. The optimal solution found, for general multivariable case, by exploiting properties newly defined generalized spectral factors. exact equivalence between results found time domain and approaches established, even case unstable systems. proposed method can easily cope with cases stationary coloured signals, dynamical operators in performance index singular noise autocorrelation weighting matrices ; its computational superiority over existing time-domain techniques demonstrated.