Theory and Modern Applications
From: Survey of duality between linear quadratic regulation and linear estimation problems for discrete-time systems
LMMSE estimation
LQR
x(k): state variable
y(k): observed variable
u(k): control signal
0: first observation
N: last control action
\(K_{p}(k)\): in (2.4)
K(k): in (2.10)
\(R_{\varepsilon (k)}\): in (2.5)
\(R_{\mathbf{w}(k)}\): in (2.11)
P(k + 1): in (2.6)
PÌ…(k): in (2.12)