A new solving method based on information fusion estimation (IFE) for linear quadratic optimal control problem is proposed in this paper. According to information fusion estimation theory, by fusing the hard constraint information of system dynamic equation and the soft constraint information of the desired state/output information from the quadratic performance index function, an estimation of the costate sequence is achieved. By fusing the costate information and the constraint information of the control sequence from the quadratic performance index function, an estimation of the optimal control law is obtained. Based on this method, an information fusion state regulator and an information fusion tracker are deduced, the computational results of which are identical to the traditional solving methods through the theoretical analysis.
I. INTRODUCTIONHE linear quadratic (LQ) optimal control problem is a well-known fundamental problem in optimal control theory [1]. The LQ optimal control problem has received a great deal of attention from control theorists and engineers, since the resulting control law is linear with respect to the state and is therefore easy to compute [2][3]. There are many different approaches for solving this problem, such as minimization method using Lagrange multipliers, dynamic programming, Lyapunov function and so on.Information fusion estimation (IFE) is the problem of how to best utilize useful information obtained from multiple sources (e.g., multiple sensors) or from a single source over a time period, for estimating an unknown quantity-a parameter or process. The most important application area of IFE is track fusion or track-to-track fusion in target tracking system [4]. Li (2003) established three estimation fusion architectures including centralized, distributed, and hybrid, moreover, he proposed an unified linear data model and two Manuscript