Abstract
The purpose of this article is to provide a brief tutorial exposition of the formal setting, the main ideas, and the formulas for the linear quadratic gaussian stochastic optimal control problem (the so-called LQG-problem).
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© 1981 D. Reidel Publishing Company
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Willems, J.C. (1981). The LQG-Problem: A Brief Tutorial Exposition. In: Hazewinkel, M., Willems, J.C. (eds) Stochastic Systems: The Mathematics of Filtering and Identification and Applications. NATO Advanced Study Institutes Series, vol 78. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-8546-9_2
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DOI: https://doi.org/10.1007/978-94-009-8546-9_2
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