linear-quadratic-gaussian problem

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linear-quadratic-gaussian problem [′lin·ē·ər kwə′drad·ik ′gau̇s·ē·ən ‚präb·ləm]

(control systems)

An optimal-state regulator problem, containing Gaussian noise in both the state and measurement equations, in which the expected value of the quadratic performance index is to be minimized. Abbreviated LQG problem.

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