Robust Linear Quadratic Regulator: Exact Tractable Reformulation

Wouter Jongeneel, Tyler Summers, Peyman Mohajerin Esfahani

Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientificpeer-review

2 Citations (Scopus)
11 Downloads (Pure)


We consider the problem of controlling an unknown stochastic linear dynamical system subject to an infinitehorizon discounted quadratic cost. Existing approaches for handling the corresponding robust optimal control problem resort to either conservative uncertainty sets or various approximations schemes, and to our best knowledge, the current literature lacks an exact, yet tractable, solution. We propose a class of novel uncertainty sets for the system matrices of the linear system. We show that the resulting robust linear quadratic regulator problem enjoys a closed-form solution described through a generalized algebraic Riccati equation arising from dynamic game theory.

Original languageEnglish
Title of host publicationProceedings of the IEEE 58th Conference on Decision and Control, CDC 2019
ISBN (Electronic)978-1-7281-1398-2
Publication statusPublished - 2019
Event58th IEEE Conference on Decision and Control, CDC 2019 - Nice, France
Duration: 11 Dec 201913 Dec 2019


Conference58th IEEE Conference on Decision and Control, CDC 2019

Bibliographical note

Green Open Access added to TU Delft Institutional Repository 'You share, we take care!' - Taverne project
Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.


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