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Linear–quadratic regulator

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The LQR algorithm reduces the amount of work done by the control systems engineer to optimize the controller. However, the engineer still needs to specify the cost function parameters, and compare the results with the specified design goals. Often this means that controller construction will be an
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with weighting factors supplied by a human (engineer). The cost function is often defined as a sum of the deviations of key measurements, like altitude or process temperature, from their desired values. The algorithm thus finds those controller settings that minimize undesired deviations. The
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Model predictive control and linear-quadratic regulators are two types of optimal control methods that have distinct approaches for setting the optimization costs. In particular, when the LQR is run repeatedly with a receding horizon, it becomes a form of
3236: 2789: 104:, also known as pole placement, in which there is a clearer relationship between controller parameters and controller behavior. Difficulty in finding the right weighting factors limits the application of the LQR based controller synthesis. 1927: 2036: 954: 3832: 3575: 1540: 3976:
then the problem is known as the polynomial-quadratic regulator (PQR). Again, the Al'Brekht algorithm can be applied to reduce this problem to a large linear one which can be solved with a generalization of the
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iterative process in which the engineer judges the "optimal" controllers produced through simulation and then adjusts the parameters to produce a controller more consistent with design goals.
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The settings of a (regulating) controller governing either a machine or process (like an airplane or chemical reactor) are found by using a mathematical algorithm that minimizes a
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Borggaard, Jeff; Zietsman, Lizette (July 2020). "The Quadratic-Quadratic Regulator Problem: Approximating feedback controls for quadratic-in-state nonlinear systems".
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Note that one way to solve the algebraic Riccati equation is by iterating the dynamic Riccati equation of the finite-horizon case until it converges.
4149: 1434: 2333:{\displaystyle J=x_{H_{p}}^{T}Q_{H_{p}}x_{H_{p}}+\sum \limits _{k=0}^{H_{p}-1}\left(x_{k}^{T}Qx_{k}+u_{k}^{T}Ru_{k}+2x_{k}^{T}Nu_{k}\right)} 4056: 2437: 17: 3719:{\displaystyle P={\mathcal {A}}^{T}P{\mathcal {A}}-{\mathcal {A}}^{T}PB\left(R+B^{T}PB\right)^{-1}B^{T}P{\mathcal {A}}+{\mathcal {Q}}} 3892: 1709: 4266: 1099: 4122:
Shaiju, AJ, Petersen, Ian R. (2008). "Formulas for discrete time LQR, LQG, LEQG and minimax LQG optimal control problems".
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is the cross-term (control and state) cost matrix, the feedback control law that minimizes the value of the cost is:
69: 520:{\displaystyle J=x^{T}(t_{1})F(t_{1})x(t_{1})+\int \limits _{t_{0}}^{t_{1}}\left(x^{T}Qx+u^{T}Ru+2x^{T}Nu\right)dt} 676: 3990: 3964:
can be applied to reduce this problem to one that can be solved efficiently using tensor based linear solvers.
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If the state equation is quadratic then the problem is known as the quadratic-quadratic regulator (QQR). The
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is called the LQ problem. One of the main results in the theory is that the solution is provided by the
965: 3418: 2784:{\displaystyle P_{k-1}=A^{T}P_{k}A-(A^{T}P_{k}B+N)\left(R+B^{T}P_{k}B\right)^{-1}(B^{T}P_{k}A+N^{T})+Q} 1700: 1381: 1041: 175: 4398: 4189: 3978: 3247: 4000:(MPC). In general, however, MPC does not rely on any assumptions regarding linearity of the system. 1242: 4413: 3997: 3944: 46: 3943:
problem, and so the problem is often solved repeatedly with a receding horizon. This is a form of
3849: 2905: 2851: 97: 4393: 4143: 1551: 617: 2570: 2343: 120: 43: 72:. Like the LQR problem itself, the LQG problem is one of the most fundamental problems in 8: 3940: 101: 100:. As such, it is not uncommon for control engineers to prefer alternative methods, like 4330: 4310: 4272: 4244: 3400: 2885: 1682: 1587: 757: 653: 594: 574: 554: 534: 280: 260: 4373: 4365: 4351: 4334: 4276: 4262: 4135: 4102: 4079: 4037: 4018:"Robustness results in linear-quadratic Gaussian based multivariable control designs" 1922:{\displaystyle {\mathcal {A}}^{T}P+P{\mathcal {A}}-PBR^{-1}B^{T}P+{\mathcal {Q}}=0\,} 1090: 4320: 4258: 4254: 4212: 4204: 4131: 4071: 4029: 2031:{\displaystyle {\mathcal {A}}=A-BR^{-1}N^{T}\qquad {\mathcal {Q}}=Q-NR^{-1}N^{T}\,} 949:{\displaystyle A^{T}P(t)+P(t)A-(P(t)B+N)R^{-1}(B^{T}P(t)+N^{T})+Q=-{\dot {P}}(t)\,} 332:
is the control input. Given a quadratic cost function for the system, defined as:
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magnitude of the control action itself may also be included in the cost function.
4325: 4298: 3827:{\displaystyle {\mathcal {A}}=A-BR^{-1}N^{T}\qquad {\mathcal {Q}}=Q-NR^{-1}N^{T}} 3570:{\displaystyle P=A^{T}PA-(A^{T}PB+N)\left(R+B^{T}PB\right)^{-1}(B^{T}PA+N^{T})+Q} 31: 4238: 4017: 3981:; this is feasible provided that the degree of the polynomial is not too high. 73: 38:
at minimum cost. The case where the system dynamics are described by a set of
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The LQR algorithm is essentially an automated way of finding an appropriate
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the optimal control sequence minimizing the performance index is given by:
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the optimal control sequence minimizing the performance index is given by:
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is found iteratively backwards in time by the dynamic Riccati equation:
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Mathematical Control Theory: Deterministic Finite Dimensional Systems
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the feedback control law that minimizes the value of the cost is:
297:-dimensional real-valued vector) is the state of the system and 3417:
is the unique positive definite solution to the discrete time
3929:{\displaystyle C\mathbf {x} +D\mathbf {u} \leq \mathbf {e} .} 60:
LQR controllers possess inherent robustness with guaranteed
57:), a feedback controller whose equations are given below. 4399:
Mathematica function for Linear Quadratic Regulator design
4299:"On Approximating Polynomial-Quadratic Regulator Problems" 4188:
Scokaert, Pierre O. M.; Rawlings, James B. (August 1998).
1817:{\displaystyle A^{T}P+PA-(PB+N)R^{-1}(B^{T}P+N^{T})+Q=0\,} 3886:
may be allowed. One common constraint is the linear one:
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MATLAB function for Linear Quadratic Regulator design
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Borggaard, Jeff; Zietsman, Lizette (1 January 2021).
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(1981). 4346:Kwakernaak, Huibert; Sivan, Raphael (1972). 4148:: CS1 maint: multiple names: authors list ( 3991:Model predictive control § MPC vs. LQR 3984: 744:{\displaystyle K=R^{-1}(B^{T}P(t)+N^{T})\,} 4121: 4324: 4314: 4248: 4190:"Constrained Linear Quadratic Regulation" 3383: 3280: 3074: 3001:{\displaystyle Ax_{H_{p}-1}+Bu_{H_{p}-1}} 2553: 2417: 2104: 2027: 1918: 1813: 1665: 1570: 1224:{\displaystyle 0=Ru+N^{T}x+B^{T}\lambda } 945: 740: 636: 312: 237: 3939:The finite horizon version of this is a 1699:is found by solving the continuous time 1669:{\displaystyle K=R^{-1}(B^{T}P+N^{T})\,} 774:is found by solving the continuous time 4057:"Guaranteed Margins for LQG Regulators" 3078:{\displaystyle x_{k+1}=Ax_{k}+Bu_{k}\,} 2108:{\displaystyle x_{k+1}=Ax_{k}+Bu_{k}\,} 70:LQG (linear–quadratic–Gaussian) problem 14: 4406: 4364: 4240:2020 American Control Conference (ACC) 4197:IEEE Transactions on Automatic Control 4064:IEEE Transactions on Automatic Control 4022:IEEE Transactions on Automatic Control 3950: 79: 4164:"Ch. 8 - Linear Quadratic Regulators" 4054: 3088:with a performance index defined as: 2118:with a performance index defined as: 325:{\displaystyle u\in \mathbb {R} ^{m}} 250:{\displaystyle x\in \mathbb {R} ^{n}} 4350:(1st ed.). Wiley-Interscience. 4096: 3105: 2841:{\displaystyle P_{H_{p}}=Q_{H_{p}}} 2421:{\displaystyle u_{k}=-F_{k}x_{k}\,} 2194: 24: 4290: 4230: 3784: 3741: 3711: 3701: 3627: 3616: 3600: 3120: 1987: 1944: 1907: 1862: 1840: 1454: 1016:{\displaystyle P(t_{1})=F(t_{1}).} 25: 4425: 4387: 1428:with a cost function defined as: 1371:Infinite-horizon, continuous-time 4136:10.3182/20080706-5-KR-1001.01483 3919: 3911: 3900: 1418:{\displaystyle {\dot {x}}=Ax+Bu} 1078:{\displaystyle {\dot {x}}=Ax+Bu} 1026:The first order conditions for J 591:is the control cost matrix, and 212:{\displaystyle {\dot {x}}=Ax+Bu} 27:Linear optimal control technique 3846:In practice, not all values of 3781: 3284:{\displaystyle u_{k}=-Fx_{k}\,} 3012:Infinite-horizon, discrete-time 1984: 113:Finite-horizon, continuous-time 42:and the cost is described by a 4348:Linear Optimal Control Systems 4259:10.23919/ACC45564.2020.9147286 4181: 4115: 4090: 4048: 4009: 3968:Polynomial-quadratic regulator 3841: 3558: 3526: 3481: 3456: 3380: 3348: 3336: 3310: 2772: 2733: 2681: 2649: 2550: 2505: 2493: 2454: 1798: 1769: 1753: 1738: 1662: 1633: 1355: 1342: 1336: 1323: 1314: 1301: 1281:{\displaystyle x(t_{0})=x_{0}} 1262: 1249: 1007: 994: 985: 972: 942: 936: 909: 893: 887: 871: 855: 843: 837: 831: 822: 816: 807: 801: 737: 721: 715: 699: 409: 396: 390: 377: 371: 358: 156: 130: 34:is concerned with operating a 13: 1: 4003: 3956:Quadratic-quadratic regulator 3581:This can be also written as: 2902:is driven to its final state 2042:Finite-horizon, discrete-time 1827:This can be also written as: 959:with the boundary condition: 776:Riccati differential equation 40:linear differential equations 4326:10.1016/j.ifacol.2021.06.090 551:is the initial cost matrix, 7: 3879:{\displaystyle x_{k},u_{k}} 107: 10: 4430: 4372:(2nd ed.). Springer. 4130:(2). Elsevier: 8773–8778. 3988: 3419:algebraic Riccati equation 1701:algebraic Riccati equation 571:is the state cost matrix, 51:linear–quadratic regulator 18:Linear-quadratic regulator 4097:Chow, Gregory C. (1986). 3979:Bartels-Stewart algorithm 3972:If the state equation is 2929:{\displaystyle x_{H_{p}}} 2875:{\displaystyle u_{H_{p}}} 98:state-feedback controller 4124:IFAC Proceedings Volumes 4076:10.1109/TAC.1978.1101812 4034:10.1109/TAC.1981.1102565 3998:model predictive control 3985:Model-predictive control 3945:model predictive control 2794:from terminal condition 4055:Doyle, John C. (1978). 1574:{\displaystyle u=-Kx\,} 640:{\displaystyle u=-Kx\,} 3930: 3880: 3828: 3720: 3571: 3411: 3388: 3285: 3232: 3124: 3079: 3002: 2930: 2896: 2882:is not defined, since 2876: 2842: 2785: 2588: 2558: 2422: 2361: 2334: 2226: 2109: 2032: 1923: 1818: 1693: 1670: 1598: 1575: 1536: 1419: 1362: 1282: 1235:4) Boundary conditions 1225: 1166:3) Stationary equation 1156: 1079: 1017: 950: 768: 745: 664: 641: 605: 585: 565: 545: 521: 443: 326: 291: 271: 251: 213: 163: 4168:underactuated.mit.edu 3931: 3881: 3829: 3721: 3572: 3412: 3389: 3286: 3233: 3104: 3080: 3003: 2931: 2897: 2877: 2843: 2786: 2589: 2587:{\displaystyle P_{k}} 2559: 2423: 2362: 2360:{\displaystyle H_{p}} 2335: 2193: 2110: 2033: 1924: 1819: 1694: 1671: 1599: 1576: 1537: 1420: 1363: 1283: 1226: 1157: 1080: 1018: 951: 769: 746: 665: 642: 606: 586: 566: 546: 522: 415: 327: 292: 272: 252: 214: 164: 162:{\displaystyle t\in } 4243:. pp. 818–823. 4101:. Krieger Publ. 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1091:Co-state equation 1054: 1034:1) State equation 933: 767:{\displaystyle P} 663:{\displaystyle K} 604:{\displaystyle N} 584:{\displaystyle R} 564:{\displaystyle Q} 544:{\displaystyle F} 290:{\displaystyle n} 270:{\displaystyle x} 188: 16:(Redirected from 4421: 4383: 4361: 4339: 4338: 4328: 4318: 4294: 4288: 4287: 4285: 4283: 4252: 4234: 4228: 4227: 4225: 4223: 4209:10.1109/9.704994 4203:(8): 1163–1169. 4194: 4185: 4179: 4178: 4176: 4174: 4160: 4154: 4153: 4147: 4139: 4119: 4113: 4112: 4094: 4088: 4087: 4061: 4052: 4046: 4045: 4013: 3935: 3933: 3932: 3927: 3922: 3914: 3903: 3885: 3883: 3882: 3877: 3875: 3874: 3862: 3861: 3833: 3831: 3830: 3825: 3823: 3822: 3813: 3812: 3788: 3787: 3780: 3779: 3770: 3769: 3745: 3744: 3725: 3723: 3722: 3717: 3715: 3714: 3705: 3704: 3695: 3694: 3685: 3684: 3676: 3672: 3665: 3664: 3637: 3636: 3631: 3630: 3620: 3619: 3610: 3609: 3604: 3603: 3576: 3574: 3573: 3568: 3557: 3556: 3538: 3537: 3525: 3524: 3516: 3512: 3505: 3504: 3468: 3467: 3446: 3445: 3416: 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1483: 1468: 1464: 1463: 1459: 1453: 1448: 1436: 1433: 1432: 1386: 1385: 1383: 1380: 1379: 1373: 1349: 1345: 1330: 1326: 1308: 1304: 1296: 1293: 1292: 1272: 1268: 1256: 1252: 1244: 1241: 1240: 1212: 1208: 1196: 1192: 1175: 1172: 1171: 1143: 1139: 1107: 1106: 1101: 1098: 1097: 1046: 1045: 1043: 1040: 1039: 1029: 1001: 997: 979: 975: 967: 964: 963: 925: 924: 903: 899: 878: 874: 862: 858: 792: 788: 786: 783: 782: 759: 756: 755: 731: 727: 706: 702: 690: 686: 678: 675: 674: 655: 652: 651: 619: 616: 615: 596: 593: 592: 576: 573: 572: 556: 553: 552: 536: 533: 532: 530: 494: 490: 472: 468: 453: 449: 448: 444: 436: 432: 431: 424: 420: 419: 403: 399: 384: 380: 365: 361: 352: 348: 340: 337: 336: 316: 311: 310: 302: 299: 298: 282: 279: 278: 262: 259: 258: 241: 236: 235: 227: 224: 223: 180: 179: 177: 174: 173: 150: 146: 137: 133: 122: 119: 118: 115: 110: 82: 32:optimal control 28: 23: 22: 15: 12: 11: 5: 4427: 4417: 4416: 4402: 4401: 4396: 4389: 4388:External links 4386: 4385: 4384: 4378: 4362: 4356: 4341: 4340: 4309:(9): 329–334. 4289: 4267: 4229: 4180: 4155: 4114: 4107: 4089: 4070:(4): 756–757. 4047: 4007: 4005: 4002: 3989:Main article: 3986: 3983: 3969: 3966: 3957: 3954: 3952: 3949: 3937: 3936: 3925: 3921: 3917: 3913: 3909: 3906: 3902: 3898: 3873: 3869: 3865: 3860: 3856: 3843: 3840: 3836: 3835: 3821: 3817: 3811: 3808: 3804: 3800: 3797: 3794: 3791: 3786: 3778: 3774: 3768: 3765: 3761: 3757: 3754: 3751: 3748: 3743: 3727: 3726: 3713: 3708: 3703: 3698: 3693: 3689: 3683: 3680: 3675: 3671: 3668: 3663: 3659: 3655: 3652: 3648: 3643: 3640: 3635: 3629: 3623: 3618: 3613: 3608: 3602: 3596: 3593: 3579: 3578: 3566: 3563: 3560: 3555: 3551: 3547: 3544: 3541: 3536: 3532: 3528: 3523: 3520: 3515: 3511: 3508: 3503: 3499: 3495: 3492: 3488: 3483: 3480: 3477: 3474: 3471: 3466: 3462: 3458: 3455: 3452: 3449: 3444: 3440: 3436: 3433: 3406: 3395: 3394: 3382: 3377: 3373: 3369: 3366: 3363: 3358: 3354: 3350: 3345: 3342: 3338: 3334: 3331: 3326: 3322: 3318: 3315: 3312: 3309: 3306: 3292: 3291: 3277: 3273: 3269: 3266: 3263: 3258: 3254: 3239: 3238: 3226: 3220: 3216: 3212: 3207: 3202: 3198: 3194: 3191: 3186: 3182: 3178: 3173: 3168: 3164: 3160: 3155: 3151: 3147: 3142: 3137: 3133: 3128: 3122: 3117: 3114: 3111: 3107: 3103: 3100: 3086: 3085: 3071: 3067: 3063: 3060: 3055: 3051: 3047: 3044: 3039: 3036: 3033: 3029: 3013: 3010: 2995: 2992: 2987: 2983: 2978: 2974: 2971: 2966: 2963: 2958: 2954: 2949: 2945: 2921: 2917: 2912: 2891: 2867: 2863: 2858: 2833: 2829: 2824: 2820: 2813: 2809: 2804: 2792: 2791: 2780: 2777: 2774: 2769: 2765: 2761: 2758: 2753: 2749: 2743: 2739: 2735: 2730: 2727: 2722: 2718: 2713: 2709: 2703: 2699: 2695: 2692: 2688: 2683: 2680: 2677: 2674: 2669: 2665: 2659: 2655: 2651: 2648: 2645: 2640: 2636: 2630: 2626: 2622: 2617: 2614: 2611: 2607: 2581: 2577: 2565: 2564: 2552: 2547: 2543: 2539: 2536: 2531: 2528: 2525: 2521: 2515: 2511: 2507: 2502: 2499: 2495: 2491: 2486: 2483: 2480: 2476: 2470: 2466: 2462: 2459: 2456: 2453: 2448: 2444: 2429: 2428: 2414: 2410: 2404: 2400: 2396: 2393: 2388: 2384: 2369: 2368: 2354: 2350: 2328: 2322: 2318: 2314: 2309: 2304: 2300: 2296: 2293: 2288: 2284: 2280: 2275: 2270: 2266: 2262: 2257: 2253: 2249: 2244: 2239: 2235: 2230: 2224: 2221: 2216: 2212: 2206: 2203: 2200: 2196: 2192: 2185: 2181: 2176: 2168: 2164: 2159: 2153: 2146: 2142: 2137: 2133: 2130: 2116: 2115: 2101: 2097: 2093: 2090: 2085: 2081: 2077: 2074: 2069: 2066: 2063: 2059: 2043: 2040: 2039: 2038: 2024: 2020: 2014: 2011: 2007: 2003: 2000: 1997: 1994: 1989: 1981: 1977: 1971: 1968: 1964: 1960: 1957: 1954: 1951: 1946: 1930: 1929: 1917: 1914: 1909: 1904: 1901: 1896: 1892: 1886: 1883: 1879: 1875: 1872: 1869: 1864: 1859: 1856: 1853: 1848: 1842: 1825: 1824: 1812: 1809: 1806: 1803: 1800: 1795: 1791: 1787: 1784: 1779: 1775: 1771: 1766: 1763: 1759: 1755: 1752: 1749: 1746: 1743: 1740: 1737: 1734: 1731: 1728: 1725: 1720: 1716: 1688: 1677: 1676: 1664: 1659: 1655: 1651: 1648: 1643: 1639: 1635: 1630: 1627: 1623: 1619: 1616: 1593: 1582: 1581: 1569: 1566: 1563: 1560: 1557: 1543: 1542: 1531: 1528: 1524: 1520: 1517: 1512: 1508: 1504: 1501: 1498: 1495: 1490: 1486: 1482: 1479: 1476: 1471: 1467: 1462: 1456: 1451: 1447: 1443: 1440: 1426: 1425: 1414: 1411: 1408: 1405: 1402: 1399: 1393: 1390: 1372: 1369: 1357: 1352: 1348: 1344: 1341: 1338: 1333: 1329: 1325: 1322: 1319: 1316: 1311: 1307: 1303: 1300: 1289: 1288: 1275: 1271: 1267: 1264: 1259: 1255: 1251: 1248: 1232: 1231: 1220: 1215: 1211: 1207: 1204: 1199: 1195: 1191: 1188: 1185: 1182: 1179: 1163: 1162: 1151: 1146: 1142: 1138: 1135: 1132: 1129: 1126: 1123: 1120: 1114: 1111: 1105: 1086: 1085: 1074: 1071: 1068: 1065: 1062: 1059: 1053: 1050: 1027: 1024: 1023: 1012: 1009: 1004: 1000: 996: 993: 990: 987: 982: 978: 974: 971: 957: 956: 944: 941: 938: 932: 929: 923: 920: 917: 914: 911: 906: 902: 898: 895: 892: 889: 886: 881: 877: 873: 868: 865: 861: 857: 854: 851: 848: 845: 842: 839: 836: 833: 830: 827: 824: 821: 818: 815: 812: 809: 806: 803: 800: 795: 791: 763: 752: 751: 739: 734: 730: 726: 723: 720: 717: 714: 709: 705: 701: 696: 693: 689: 685: 682: 659: 648: 647: 635: 632: 629: 626: 623: 600: 580: 560: 540: 528: 527: 516: 513: 509: 505: 502: 497: 493: 489: 486: 483: 480: 475: 471: 467: 464: 461: 456: 452: 447: 439: 435: 427: 423: 418: 414: 411: 406: 402: 398: 395: 392: 387: 383: 379: 376: 373: 368: 364: 360: 355: 351: 347: 344: 319: 314: 309: 306: 286: 266: 244: 239: 234: 231: 220: 219: 208: 205: 202: 199: 196: 193: 187: 184: 158: 153: 149: 145: 140: 136: 132: 129: 126: 114: 111: 109: 106: 81: 78: 74:control theory 36:dynamic system 30:The theory of 26: 9: 6: 4: 3: 2: 4426: 4415: 4412: 4411: 4409: 4400: 4397: 4395: 4392: 4391: 4381: 4379:0-387-98489-5 4375: 4371: 4367: 4363: 4359: 4357:0-471-51110-2 4353: 4349: 4344: 4343: 4336: 4332: 4327: 4322: 4317: 4312: 4308: 4304: 4300: 4293: 4278: 4274: 4270: 4264: 4260: 4256: 4251: 4246: 4242: 4241: 4233: 4218: 4214: 4210: 4206: 4202: 4198: 4191: 4184: 4169: 4165: 4159: 4151: 4145: 4137: 4133: 4129: 4125: 4118: 4110: 4108:0-89874-969-7 4104: 4100: 4093: 4085: 4081: 4077: 4073: 4069: 4065: 4058: 4051: 4043: 4039: 4035: 4031: 4027: 4023: 4019: 4012: 4008: 4001: 3999: 3992: 3982: 3980: 3975: 3965: 3963: 3948: 3946: 3942: 3923: 3915: 3907: 3904: 3896: 3889: 3888: 3887: 3871: 3867: 3863: 3858: 3854: 3839: 3819: 3815: 3809: 3806: 3802: 3798: 3795: 3792: 3789: 3776: 3772: 3766: 3763: 3759: 3755: 3752: 3749: 3746: 3732: 3731: 3730: 3706: 3696: 3691: 3687: 3681: 3678: 3673: 3669: 3666: 3661: 3657: 3653: 3650: 3646: 3641: 3638: 3633: 3621: 3611: 3606: 3594: 3591: 3584: 3583: 3582: 3564: 3561: 3553: 3549: 3545: 3542: 3539: 3534: 3530: 3521: 3518: 3513: 3509: 3506: 3501: 3497: 3493: 3490: 3486: 3478: 3475: 3472: 3469: 3464: 3460: 3453: 3450: 3447: 3442: 3438: 3434: 3431: 3424: 3423: 3422: 3420: 3404: 3375: 3371: 3367: 3364: 3361: 3356: 3352: 3343: 3340: 3332: 3329: 3324: 3320: 3316: 3313: 3307: 3304: 3297: 3296: 3295: 3275: 3271: 3267: 3264: 3261: 3256: 3252: 3244: 3243: 3242: 3224: 3218: 3214: 3210: 3205: 3200: 3196: 3192: 3189: 3184: 3180: 3176: 3171: 3166: 3162: 3158: 3153: 3149: 3145: 3140: 3135: 3131: 3126: 3115: 3112: 3109: 3101: 3098: 3091: 3090: 3089: 3069: 3065: 3061: 3058: 3053: 3049: 3045: 3042: 3037: 3034: 3031: 3027: 3019: 3018: 3017: 3009: 2993: 2990: 2985: 2981: 2976: 2972: 2969: 2964: 2961: 2956: 2952: 2947: 2943: 2919: 2915: 2910: 2889: 2865: 2861: 2856: 2831: 2827: 2822: 2818: 2811: 2807: 2802: 2778: 2775: 2767: 2763: 2759: 2756: 2751: 2747: 2741: 2737: 2728: 2725: 2720: 2716: 2711: 2707: 2701: 2697: 2693: 2690: 2686: 2678: 2675: 2672: 2667: 2663: 2657: 2653: 2646: 2643: 2638: 2634: 2628: 2624: 2620: 2615: 2612: 2609: 2605: 2597: 2596: 2595: 2579: 2575: 2545: 2541: 2537: 2534: 2529: 2526: 2523: 2519: 2513: 2509: 2500: 2497: 2489: 2484: 2481: 2478: 2474: 2468: 2464: 2460: 2457: 2451: 2446: 2442: 2434: 2433: 2432: 2412: 2408: 2402: 2398: 2394: 2391: 2386: 2382: 2374: 2373: 2372: 2352: 2348: 2326: 2320: 2316: 2312: 2307: 2302: 2298: 2294: 2291: 2286: 2282: 2278: 2273: 2268: 2264: 2260: 2255: 2251: 2247: 2242: 2237: 2233: 2228: 2222: 2219: 2214: 2210: 2204: 2201: 2198: 2190: 2183: 2179: 2174: 2166: 2162: 2157: 2151: 2144: 2140: 2135: 2131: 2128: 2121: 2120: 2119: 2099: 2095: 2091: 2088: 2083: 2079: 2075: 2072: 2067: 2064: 2061: 2057: 2049: 2048: 2047: 2022: 2018: 2012: 2009: 2005: 2001: 1998: 1995: 1992: 1979: 1975: 1969: 1966: 1962: 1958: 1955: 1952: 1949: 1935: 1934: 1933: 1915: 1912: 1902: 1899: 1894: 1890: 1884: 1881: 1877: 1873: 1870: 1867: 1857: 1854: 1851: 1846: 1830: 1829: 1828: 1810: 1807: 1804: 1801: 1793: 1789: 1785: 1782: 1777: 1773: 1764: 1761: 1757: 1750: 1747: 1744: 1741: 1735: 1732: 1729: 1726: 1723: 1718: 1714: 1706: 1705: 1704: 1702: 1686: 1657: 1653: 1649: 1646: 1641: 1637: 1628: 1625: 1621: 1617: 1614: 1607: 1606: 1605: 1604:is given by: 1591: 1567: 1564: 1561: 1558: 1555: 1548: 1547: 1546: 1529: 1526: 1522: 1518: 1515: 1510: 1506: 1502: 1499: 1496: 1493: 1488: 1484: 1480: 1477: 1474: 1469: 1465: 1460: 1449: 1445: 1441: 1438: 1431: 1430: 1429: 1412: 1409: 1406: 1403: 1400: 1397: 1391: 1388: 1378: 1377: 1376: 1368: 1350: 1346: 1339: 1331: 1327: 1320: 1317: 1309: 1305: 1298: 1273: 1269: 1265: 1257: 1253: 1246: 1239: 1238: 1237: 1236: 1218: 1213: 1209: 1205: 1202: 1197: 1193: 1189: 1186: 1183: 1180: 1177: 1170: 1169: 1168: 1167: 1149: 1144: 1140: 1136: 1133: 1130: 1127: 1124: 1121: 1118: 1112: 1109: 1103: 1096: 1095: 1094: 1093: 1092: 1072: 1069: 1066: 1063: 1060: 1057: 1051: 1048: 1038: 1037: 1036: 1035: 1031: 1010: 1002: 998: 991: 988: 980: 976: 969: 962: 961: 960: 939: 930: 927: 921: 918: 915: 912: 904: 900: 896: 890: 884: 879: 875: 866: 863: 859: 852: 849: 846: 840: 834: 828: 825: 819: 813: 810: 804: 798: 793: 789: 781: 780: 779: 777: 761: 732: 728: 724: 718: 712: 707: 703: 694: 691: 687: 683: 680: 673: 672: 671: 670:is given by: 657: 633: 630: 627: 624: 621: 614: 613: 612: 598: 578: 558: 538: 514: 511: 507: 503: 500: 495: 491: 487: 484: 481: 478: 473: 469: 465: 462: 459: 454: 450: 445: 437: 433: 425: 421: 416: 412: 404: 400: 393: 385: 381: 374: 366: 362: 353: 349: 345: 342: 335: 334: 333: 317: 307: 304: 284: 264: 242: 232: 229: 206: 203: 200: 197: 194: 191: 185: 182: 172: 171: 170: 151: 147: 143: 138: 134: 127: 124: 105: 103: 99: 94: 90: 87: 86:cost function 77: 75: 71: 67: 63: 58: 56: 52: 48: 45: 41: 37: 33: 19: 4369: 4347: 4306: 4302: 4292: 4280:. Retrieved 4239: 4232: 4220:. Retrieved 4200: 4196: 4183: 4171:. Retrieved 4167: 4158: 4144:cite journal 4127: 4123: 4117: 4098: 4092: 4067: 4063: 4050: 4028:(1): 75–93. 4025: 4021: 4011: 3994: 3971: 3959: 3938: 3845: 3837: 3728: 3580: 3396: 3293: 3240: 3087: 3015: 2848:. Note that 2793: 2566: 2430: 2370: 2117: 2045: 1931: 1826: 1678: 1583: 1544: 1427: 1374: 1290: 1234: 1233: 1165: 1164: 1088: 1087: 1033: 1032: 1025: 958: 753: 649: 529: 221: 116: 95: 91: 83: 66:phase margin 59: 54: 50: 29: 3842:Constraints 4316:2009.11068 4250:1910.03396 4217:1793/10888 4004:References 3974:polynomial 257:(that is, 4335:221856517 4282:20 August 4277:203904925 4222:20 August 4173:20 August 4084:0018-9286 4042:0018-9286 3916:≤ 3807:− 3796:− 3764:− 3753:− 3679:− 3622:− 3519:− 3454:− 3341:− 3265:− 3121:∞ 3106:∑ 2991:− 2962:− 2726:− 2647:− 2613:− 2498:− 2395:− 2220:− 2195:∑ 2010:− 1999:− 1967:− 1956:− 1882:− 1868:− 1762:− 1736:− 1626:− 1562:− 1455:∞ 1446:∫ 1392:˙ 1299:λ 1219:λ 1150:λ 1113:˙ 1110:λ 1104:− 1052:˙ 931:˙ 922:− 864:− 829:− 692:− 628:− 417:∫ 308:∈ 233:∈ 186:˙ 128:∈ 44:quadratic 4408:Category 4368:(1998). 3421:(DARE): 2340:, where 108:Versions 47:function 3294:where: 2431:where: 4376:  4354:  4333:  4275:  4265:  4105:  4082:  4040:  3729:with: 1584:where 650:where 531:where 277:is an 222:where 4331:S2CID 4311:arXiv 4273:S2CID 4245:arXiv 4193:(PDF) 4060:(PDF) 1932:with 1030:are: 4374:ISBN 4352:ISBN 4284:2022 4263:ISBN 4224:2022 4175:2022 4150:link 4103:ISBN 4080:ISSN 4038:ISSN 3397:and 2567:and 1679:and 1291:and 754:and 76:. 64:and 62:gain 4321:doi 4255:doi 4213:hdl 4205:doi 4132:doi 4072:doi 4030:doi 2936:by 1089:2) 1028:min 55:LQR 4410:: 4329:. 4319:. 4307:54 4305:. 4301:. 4271:. 4261:. 4253:. 4211:. 4201:43 4199:. 4195:. 4166:. 4146:}} 4142:{{ 4128:41 4126:. 4078:. 4068:23 4066:. 4062:. 4036:. 4026:26 4024:. 4020:. 3947:. 3008:. 1703:: 778:: 4382:. 4360:. 4337:. 4323:: 4313:: 4286:. 4257:: 4247:: 4226:. 4215:: 4207:: 4177:. 4152:) 4138:. 4134:: 4111:. 4086:. 4074:: 4044:. 4032:: 3924:. 3920:e 3912:u 3908:D 3905:+ 3901:x 3897:C 3872:k 3868:u 3864:, 3859:k 3855:x 3834:. 3820:T 3816:N 3810:1 3803:R 3799:N 3793:Q 3790:= 3785:Q 3777:T 3773:N 3767:1 3760:R 3756:B 3750:A 3747:= 3742:A 3712:Q 3707:+ 3702:A 3697:P 3692:T 3688:B 3682:1 3674:) 3670:B 3667:P 3662:T 3658:B 3654:+ 3651:R 3647:( 3642:B 3639:P 3634:T 3628:A 3617:A 3612:P 3607:T 3601:A 3595:= 3592:P 3577:. 3565:Q 3562:+ 3559:) 3554:T 3550:N 3546:+ 3543:A 3540:P 3535:T 3531:B 3527:( 3522:1 3514:) 3510:B 3507:P 3502:T 3498:B 3494:+ 3491:R 3487:( 3482:) 3479:N 3476:+ 3473:B 3470:P 3465:T 3461:A 3457:( 3451:A 3448:P 3443:T 3439:A 3435:= 3432:P 3405:P 3381:) 3376:T 3372:N 3368:+ 3365:A 3362:P 3357:T 3353:B 3349:( 3344:1 3337:) 3333:B 3330:P 3325:T 3321:B 3317:+ 3314:R 3311:( 3308:= 3305:F 3276:k 3272:x 3268:F 3262:= 3257:k 3253:u 3225:) 3219:k 3215:u 3211:N 3206:T 3201:k 3197:x 3193:2 3190:+ 3185:k 3181:u 3177:R 3172:T 3167:k 3163:u 3159:+ 3154:k 3150:x 3146:Q 3141:T 3136:k 3132:x 3127:( 3116:0 3113:= 3110:k 3102:= 3099:J 3070:k 3066:u 3062:B 3059:+ 3054:k 3050:x 3046:A 3043:= 3038:1 3035:+ 3032:k 3028:x 2994:1 2986:p 2982:H 2977:u 2973:B 2970:+ 2965:1 2957:p 2953:H 2948:x 2944:A 2920:p 2916:H 2911:x 2890:x 2866:p 2862:H 2857:u 2832:p 2828:H 2823:Q 2819:= 2812:p 2808:H 2803:P 2779:Q 2776:+ 2773:) 2768:T 2764:N 2760:+ 2757:A 2752:k 2748:P 2742:T 2738:B 2734:( 2729:1 2721:) 2717:B 2712:k 2708:P 2702:T 2698:B 2694:+ 2691:R 2687:( 2682:) 2679:N 2676:+ 2673:B 2668:k 2664:P 2658:T 2654:A 2650:( 2644:A 2639:k 2635:P 2629:T 2625:A 2621:= 2616:1 2610:k 2606:P 2580:k 2576:P 2551:) 2546:T 2542:N 2538:+ 2535:A 2530:1 2527:+ 2524:k 2520:P 2514:T 2510:B 2506:( 2501:1 2494:) 2490:B 2485:1 2482:+ 2479:k 2475:P 2469:T 2465:B 2461:+ 2458:R 2455:( 2452:= 2447:k 2443:F 2413:k 2409:x 2403:k 2399:F 2392:= 2387:k 2383:u 2353:p 2349:H 2327:) 2321:k 2317:u 2313:N 2308:T 2303:k 2299:x 2295:2 2292:+ 2287:k 2283:u 2279:R 2274:T 2269:k 2265:u 2261:+ 2256:k 2252:x 2248:Q 2243:T 2238:k 2234:x 2229:( 2223:1 2215:p 2211:H 2205:0 2202:= 2199:k 2191:+ 2184:p 2180:H 2175:x 2167:p 2163:H 2158:Q 2152:T 2145:p 2141:H 2136:x 2132:= 2129:J 2100:k 2096:u 2092:B 2089:+ 2084:k 2080:x 2076:A 2073:= 2068:1 2065:+ 2062:k 2058:x 2023:T 2019:N 2013:1 2006:R 2002:N 1996:Q 1993:= 1988:Q 1980:T 1976:N 1970:1 1963:R 1959:B 1953:A 1950:= 1945:A 1916:0 1913:= 1908:Q 1903:+ 1900:P 1895:T 1891:B 1885:1 1878:R 1874:B 1871:P 1863:A 1858:P 1855:+ 1852:P 1847:T 1841:A 1811:0 1808:= 1805:Q 1802:+ 1799:) 1794:T 1790:N 1786:+ 1783:P 1778:T 1774:B 1770:( 1765:1 1758:R 1754:) 1751:N 1748:+ 1745:B 1742:P 1739:( 1733:A 1730:P 1727:+ 1724:P 1719:T 1715:A 1687:P 1663:) 1658:T 1654:N 1650:+ 1647:P 1642:T 1638:B 1634:( 1629:1 1622:R 1618:= 1615:K 1592:K 1568:x 1565:K 1559:= 1556:u 1530:t 1527:d 1523:) 1519:u 1516:N 1511:T 1507:x 1503:2 1500:+ 1497:u 1494:R 1489:T 1485:u 1481:+ 1478:x 1475:Q 1470:T 1466:x 1461:( 1450:0 1442:= 1439:J 1413:u 1410:B 1407:+ 1404:x 1401:A 1398:= 1389:x 1356:) 1351:1 1347:t 1343:( 1340:x 1337:) 1332:1 1328:t 1324:( 1321:F 1318:= 1315:) 1310:1 1306:t 1302:( 1274:0 1270:x 1266:= 1263:) 1258:0 1254:t 1250:( 1247:x 1214:T 1210:B 1206:+ 1203:x 1198:T 1194:N 1190:+ 1187:u 1184:R 1181:= 1178:0 1145:T 1141:A 1137:+ 1134:u 1131:N 1128:+ 1125:x 1122:Q 1119:= 1073:u 1070:B 1067:+ 1064:x 1061:A 1058:= 1049:x 1011:. 1008:) 1003:1 999:t 995:( 992:F 989:= 986:) 981:1 977:t 973:( 970:P 943:) 940:t 937:( 928:P 919:= 916:Q 913:+ 910:) 905:T 901:N 897:+ 894:) 891:t 888:( 885:P 880:T 876:B 872:( 867:1 860:R 856:) 853:N 850:+ 847:B 844:) 841:t 838:( 835:P 832:( 826:A 823:) 820:t 817:( 814:P 811:+ 808:) 805:t 802:( 799:P 794:T 790:A 762:P 738:) 733:T 729:N 725:+ 722:) 719:t 716:( 713:P 708:T 704:B 700:( 695:1 688:R 684:= 681:K 658:K 634:x 631:K 625:= 622:u 599:N 579:R 559:Q 539:F 515:t 512:d 508:) 504:u 501:N 496:T 492:x 488:2 485:+ 482:u 479:R 474:T 470:u 466:+ 463:x 460:Q 455:T 451:x 446:( 438:1 434:t 426:0 422:t 413:+ 410:) 405:1 401:t 397:( 394:x 391:) 386:1 382:t 378:( 375:F 372:) 367:1 363:t 359:( 354:T 350:x 346:= 343:J 318:m 313:R 305:u 285:n 265:x 243:n 238:R 230:x 207:u 204:B 201:+ 198:x 195:A 192:= 183:x 157:] 152:1 148:t 144:, 139:0 135:t 131:[ 125:t 53:( 20:)

Index

Linear-quadratic regulator
optimal control
dynamic system
linear differential equations
quadratic
function
gain
phase margin
LQG (linear–quadratic–Gaussian) problem
control theory
cost function
state-feedback controller
full state feedback
Riccati differential equation
Co-state equation
algebraic Riccati equation
algebraic Riccati equation
convex optimization
model predictive control
Al'Brekht algorithm
polynomial
Bartels-Stewart algorithm
Model predictive control § MPC vs. LQR
model predictive control
"Robustness results in linear-quadratic Gaussian based multivariable control designs"
doi
10.1109/TAC.1981.1102565
ISSN
0018-9286
"Guaranteed Margins for LQG Regulators"

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