Article ID Journal Published Year Pages File Type
752380 Systems & Control Letters 2011 5 Pages PDF
Abstract

Due to its simplicity, the completion-of-squares technique is quite popular in linear optimal control. However, this simple technique is limited to linear quadratic Gaussian systems. In this note, by interpreting the completion-of-squares from a new angle, we extend this technique to performance optimization of general Markov systems with the long run average criterion, leading to a new approach to performance optimization based on direct comparisons of the performance of two policies.

Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
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