LQ non-Gaussian Regulator with Markovian Control
The paper concerns the Linear Quadratic non-
Gaussian (LQnG) sub-optimal control problem when the input
signal travels through an unreliable network, namely a Gilbert-
Elliot channel. In particular, the control input packet losses are
modeled by a two-state Markov chain with known transition
probability matrix, and we assume that the moments of the non-
Gaussian noise sequences up to the fourth order are known. By
mean of a suitable rewriting of the system through an output
injection term, and by considering an augmented system with
the second-order Kronecker power of the measurements, a simple
solution is provided by substituting the Kalman predictor of the
LQG control law with a quadratic optimal predictor. Numerical
simulations show the effective ness of the proposed method.