Analysis of cost sensitivity for linear-quadratic stochastic problems with instantaneous output feedback
- 1 October 1974
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 19 (5), 589-590
- https://doi.org/10.1109/tac.1974.1100665
Abstract
Problems of sensitivity of the optimal performance of linear-quadratic stochastic systems with instantaneous output feedback is studied. Optimal-cost sensitivity matrices are derived. Once the optimization problem is solved, no special computations are required to obtain the sensitivity matrices.Keywords
This publication has 5 references indexed in Scilit:
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