Optimal Robust Linear Quadratic Regulator for Systems Subject to Uncertainties

In this technical note, a robust recursive regulator for linear discrete-time systems, which are subject to parametric uncertainties, is proposed. The main feature of the optimal regulator developed is the absence of tuning parameters in online applications. To achieve this purpose, a quadratic cost function based on the combination of penalty function and robust weighted least-squares methods is formulated. The convergence and stability proofs for the stationary system and a numerical comparative study among the standard linear quadratic regulator, guaranteed cost and H∞ controllers are provided.

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