Non-linear quadratic gaussian controlf

Abstract Algebraic necessary conditions for the minimization of a quadratic cost function are derived for non-linear stochastic regulator systems, on the assumption that the statistics of the state and output random variables can be represented satisfactorily by a gaussian distribution. This non-linear quadratic gaussian (NQG) technique is related to the use of statistical linearization and LQG theory. In particular, the cases of perfect state measurement and incomplete and noisy measurement are addressed.

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