public class CLQG
extends Object
We formulate the Constrained Linear Quadratic Gaussian (CLQG)
Control Problem as a stochastic dynamic programming problem.
https://en.wikipedia.org/wiki/Linear-quadratic-Gaussian_control
We use backward recursion and sampling to find optimal policies.
Run with VM arguments -d64 -Xms512m -Xmx4g
- Author:
- Roberto Rossi