Numerical error bound of optimal control for homogeneous linear systems

Abstract

In this article we focus on the balanced truncation linear quadratic regulator (LQR) with constrained states and inputs. For closed-loop, we want to use the LQR to find an optimal control that minimizes the objective function which called “the quadratic cost function” with respect to the constraints on the states and the control input. In order to do that we have used formal asymptotes for the Pontryagin maximum principle (PMP) and we introduce an approach using the so called The Hamiltonian Function and the underlying algebraic Riccati equation. The theoretical results are validated numerically to show that the model order reduction based on open-loop balancing can also give good closed-loop performance.