A new method for proving the separation principle for the infinite-dimensional LQG regulator problem
2018 ◽
Vol 36
(3)
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pp. 835-848
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Abstract This paper gives an alternative perspective on the standard linear quadratic Gaussian regulator problem for infinite-dimensional state-space systems. We will show that when considered on an extended Hilbert state-space, the originally stochastic control problem can be phrased as a deterministic one. In this setting we obtain a new method of proof for the well-known separation principle which does not involve probabilistic considerations.
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1990 ◽
Vol 28
(2)
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pp. 438-465
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2002 ◽
Vol 26
(6)
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pp. 849-862
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2004 ◽
Vol 43
(24)
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pp. 7826-7842
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2003 ◽
Vol 58
(18)
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pp. 4291-4305
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1988 ◽
Vol 26
(2)
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pp. 428-451
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2019 ◽
Vol 58
(15)
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pp. 5968-5983
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1984 ◽
Vol 32
(4)
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pp. 921-922
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