Optimal Control and Filter Gains for the Stationary Continuous or Discrete Time LQG Problem - A FORTRAN Program.
Final rept. Oct 82-Sep 83,
NAVAL RESEARCH LAB WASHINGTON DC
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The eigenvalue eigenvector method is used to compute the constant linear quadratic control and Kalman filter gains for the stationary continuous and discrete LQG control problem. A listing of a simple Fortran program is provided.
- Theoretical Mathematics