가변경계조건을 갖는 새로운 칼만필터 및 레규레이터 구성

Linear-Quadratic-Gaussian Regulators with Moving Horizons

While the standard linear-quadratic-Gaussian problem has fixed horizons, this paper considers the LQG problem with moving horizons. By the separation principle the solution will be given by the kalman filter with the approaching horizon and the LQ regulator with the receding horizon. Sufficient conditions on weighting matrices are derived under which the filter and regulator are asymptotically stable. It wall be shown that the computation method of the moving-horizon LQG regulators is better than that of the standard LQG regulator. The performance measure between the two optimal controls will be compared. A simulation result is given in order to show the usefulness of the moving-horizon LQG regulator.s