LQR, DDP, and LQG: From Linear Control to Uncertainty
Chapter 20 exploits linear dynamics and quadratic objectives to solve LQR, then uses DDP for local nonlinearity and Kalman filtering with LQG for partially observed state.
Chapter 20 exploits linear dynamics and quadratic objectives to solve LQR, then uses DDP for local nonlinearity and Kalman filtering with LQG for partially observed state.