Optimal Robust Linear Quadratic Regulator for Systems Subject to Uncertainties

@article{Terra2014OptimalRL,
  title={Optimal Robust Linear Quadratic Regulator for Systems Subject to Uncertainties},
  author={Marco H. Terra and Jo{\~a}o P. Cerri and Jo{\~a}o Yoshiyuki Ishihara},
  journal={IEEE Transactions on Automatic Control},
  year={2014},
  volume={59},
  pages={2586-2591}
}
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… 

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