抄録
In this paper, we are concerned with an optimal selection of the gain matrix of the noisy observation for stationary LQG stochastic control systems. By introducing an information theoretic criterion based on a generalized Water Filling Theorem, we obtain a set of the gains which maximize the mutual information between the system state and the observations. Then, equations are obtained to find the optimal gain matrix from this set of gains which produces the best performance of the optimal LQG regulator.
