{"title":"Closed-loop optimal control law for discrete-time LQG problems with a mean-variance objective","authors":"Duan Li, F. Qian","doi":"10.1109/CDC.2004.1428731","DOIUrl":null,"url":null,"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.","PeriodicalId":254457,"journal":{"name":"2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2004-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"12","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CDC.2004.1428731","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 12
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.
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