Multivariable Control: Linear Quadratic Gaussian Control

This lecture covers the concept of linear quadratic Gaussian (LQG) control, combining LQ control with a Kalman filter. The instructor explains the challenges of modeling errors and the use of the Extended Kalman Filter (EKF) for nonlinear systems. The lecture delves into the design of a Kalman filter for a time-varying system and the implications of using the wrong model in the Kalman filter. Various tests and performance evaluations are discussed, highlighting the importance of accurate modeling and control design.