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IMA Journal of Mathematical Control and Information 1991 8(1):93-107; doi:10.1093/imamci/8.1.93
© 1991 by Institute of Mathematics and its Applications
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Quadratic Regulator Theory and Linear Filtering Under System Constraints

N. U. AHMED and P. LI

Department of Electrical Engineering, Department of Mathematics, and Department of System Science, University of Ottawa Ottawa, Ontario, Canada
Department of Electrical Engineering, University of Ottawa Ottawa, Ontario, Canada

In this paper, we present some recent results on the theory of linear quadratic regulators and linear filtering problems subject to constraints on control matrices and system structure. The approach is based on direct optimization in the space of operators, thereby allowing constraints on the operator types and norms. Furthermore the systems may be subject to general martingale inputs and not restricted to Wiener martingales as in the classical theory. It is also shown that lifting the constraints leads to the classical results. The approach is general and yet simple and instructive.


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