Linearquadratic regulator

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The theory of optimal control is concerned with operating a dynamic system at minimum cost. The case where
the system dynamics are described by a set of linear differential equations and the cost is described by a
quadratic function is called the LQ problem. One of the main results in the theory is that the solution is
provided by the linearquadratic regulator (LQR), a feedback controller whose equations are given below.
The LQR is an important part of the solution to the LQG (linearquadraticGaussian) problem. Like the LQR
problem itself, the LQG problem is one of the most fundamental problems in control theory.

Contents
1 General description
2 Finite-horizon, continuous-time LQR
3 Infinite-horizon, continuous-time LQR
4 Finite-horizon, discrete-time LQR
5 Infinite-horizon, discrete-time LQR
6 References
7 External links

General description
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 cost function with weighting factors
supplied by a human (engineer). The cost function is often defined as a sum of the deviations of key
measurements, desired altitude or process temperature, from their desired values. The algorithm thus finds
those controller settings that minimize undesired deviations. The magnitude of the control action itself may also
be included in the cost function.

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 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.

The LQR algorithm is essentially an automated way of finding an appropriate state-feedback controller. As
such, it is not uncommon for control engineers to prefer alternative methods, like full state feedback, 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.

Finite-horizon, continuous-time LQR

For a continuous-time linear system, defined on , described by

with a quadratic cost function defined as

the feedback control law that minimizes the value of the cost is

where is given by

and is found by solving the continuous time Riccati differential equation:

with the boundary condition

The first order conditions for Jmin are

(i) State equation

(ii) Co-state equation

(iii) Stationary equation

(iv) Boundary conditions

and

Infinite-horizon, continuous-time LQR

For a continuous-time linear system described by

with a cost functional defined as

the feedback control law that minimizes the value of the cost is

where is given by
and is found by solving the continuous time algebraic Riccati equation

This can be also written as

with

Finite-horizon, discrete-time LQR

For a discrete-time linear system described by [1]

with a performance index defined as

the optimal control sequence minimizing the performance index is given by

where

and is found iteratively backwards in time by the dynamic Riccati equation

from terminal condition . Note that is not defined, since is driven to its final state by
.

Infinite-horizon, discrete-time LQR

For a discrete-time linear system described by

with a performance index defined as

the optimal control sequence minimizing the performance index is given by

where

and is the unique positive definite solution to the discrete time algebraic Riccati equation (DARE)

This can be also written as

with

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.

References
1. Chow, Gregory C. (1986). Analysis and Control of Dynamic Economic Systems. Krieger Publ. Co.
ISBN 0-89874-969-7.

Kwakernaak, Huibert & Sivan, Raphael (1972). Linear Optimal Control Systems. First Edition.
Wiley-Interscience. ISBN 0-471-51110-2.

Sontag, Eduardo (1998). Mathematical Control Theory: Deterministic Finite Dimensional Systems.
Second Edition. Springer. ISBN 0-387-98489-5.

External links
MATLAB function for Linear Quadratic Regulator design
Mathematica function for Linear Quadratic Regulator design

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This page was last edited on 30 March 2017, at 19:04.

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