Stability robustness of the discrete-time LQG system under plant perturbation and noise uncertainty

In this paper the robustness of discrete time LQG problems is studied. The system to be controlled is described by the usual state space formulation but includes the structure of plant parameter perturbations and noise uncertainty. A simple and direct way is given to derive a saddle point inequality of the closed-loop system performance to cope with noise uncertainty and one sufficient condition for system stability robustness under plant perturbation is presented.