LQG optimal control of constrained discrete time systems

Abstract

In this paper, we study the discrete time LQG optimal control problem, with convex quadratic con straints. We show that the Separation Theorem does not hold. However, a generalization of this result which we call the Quasi-Separation Theorem applies. The optimal control is obtained by solving a convex, finite-dimensional optimization problem that is equivalent to solving a sequence of unconstrained LQG control problems.