The polynomial approach to the LQ non-Gaussian regulator problem through output injection
In this paper, an improved approach for the solution of the regulator problem for linear discrete-time dynamical systems with non-Gaussian disturbances and quadratic cost functional is proposed. It is known that a sub-optimal recursive
control can be derived from the classical LQG solution by substituting the linear filtering part with a quadratic, or in general polynomial, filter. However, we show that when the system