Optimal Estimation and Control for UDP-Like Systems

In this chapter, we study the optimal estimation and optimal control (LQG) problems for the UDP-like system without observation lost. To focus on the nature of the impacts of acknowledgment signals, we consider the UDP-like system without observation lost. It is shown that the optimal estimator is consisted of exponentially increasing terms, there is no Riccati equation for analyzing the estimation error covariances, and its computation requires exponentially increasing time and computer memory. In general, it is quite difficult and sometimes impossible to obtain the solution to the LQG problem. The reason differs from the known reason for the difficulty to obtain the LMMSE-estimator-based LQG control.

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