Convergence of a numerical algorithm for calculating optimal output feedback gains

Abstract

A sequential numerical algorithm is described which obtains gains minimizing a broad class of performance indexes, including the standard LQ case. The primary contribution is a proof that the algorithm converges to a local minimum under nonrestrictive assumptions. Numerical examples illustrate the theory. The second example demonstrates an important LQ design technique which permits the designer to prespecify the feedback structure, subject to the requirement of output feedback stabilizability.