A comprehensive treatment of the discrete-time, steady-state linear quadratic Gaussian stochastic control problem which is based entirely on the z-trensfer-function point of view is presented. The optimal solution is found for the general multivariable case by exploiting the properties of the newly defined discrete generalized spectral factor. The proposed method of solution is developed independently of the results found by the time-domain approach. This method can easily cope with cases of discrete stationary coloured signals and dynamical operators in the performance index and its computational superiority over existing time-domain techniques is discussed.
|Number of pages||26|
|Journal||International Journal of Control|
|State||Published - Mar 1979|