Guaranteed robustness properties of multivariable, nonlinear, stochastic optimal regulators

We study the robustness of optimal regulators for non-linear, deterministic and stochastic, multi-input dynamical systems, under the assumption that all state variables can be measured. We show that, under mild assumptions, such nonlinear regulators have a guaranteed infinite gain margin; moreover, they have a guaranteed 50 percent gain reduction margin and a 60 degree phase margin, in each feedback channel, provided that the system is linear in the control and the penalty to the control is quadratic, thus extending the well-known properties of LQ regulators to nonlinear optimal designs. These results are also valid for infinite horizon, average cost, stochastic optimal control problems.