An LQR/LQG theory for systems with saturating actuators

@article{Gkek2001AnLT,
  title={An LQR/LQG theory for systems with saturating actuators},
  author={Cevat G{\"o}kçek and Pierre T. Kabamba and Semyon M. Meerkov},
  journal={IEEE Trans. Autom. Control.},
  year={2001},
  volume={46},
  pages={1529-1542}
}
An extension of the LQR/LQG methodology to systems with saturating actuators, referred to as SLQR/SLQG, where S stands for saturating, is obtained. The development is based on the method of stochastic linearization, whereby the saturation is replaced by a gain, calculated as a function of the variance of the signal at its input. Using the stochastically linearized system and the Lagrange multiplier technique, solutions of the SLQR/SLQG problems are derived. These solutions are given by standard… 

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