The LQG/LTR Design via H2-Optimization

An H2-optimization technique is adapted to solve the LQG/LTR problem. Repetitive computations for the sequence of filter or controller gairs as some parameter approaches zero or infinity are avoided. The limit values of the LQG/LTR compensator are obtained in one iteration without involving infinite filter or controller gains. The configurations of the H2-optimal compensator and the LQG/LTR compensator are compared.