The classical linear-quadratic-Gaussian (LOG) problem from optimal control theory is surveyed with respect to recent developments in the following areas: singular control, state/control constraints, the LOG inverse problem, and algebraic/geometric structure. It is shown that a number of important results obtained during the past few years have substantially illuminated the global structure of the class of all LOG problems, as well as materially enhancing the capability of dealing with important practical aspects of LOG problem solutions. A number of outstanding research problems are also introduced.
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John L. Casti (1980) studied this question.
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