Linear-Quadratic Problems in Systems and Controls via Covariance
Representations and Linear-Conic Duality: Finite-Horizon Case
Abstract
Linear-Quadratic (LQ) problems that arise in systems and controls
include the classical optimal control problems of the Linear Quadratic
Regulator (LQR) in both its deterministic and stochastic forms, as well
as H ∞ -analysis (the Bounded Real Lemma), the Positive Real Lemma, and
general Integral Quadratic Constraints (IQCs) tests. We present a
unified treatment of all of these problems using an approach which
converts linear-quadratic problems to matrix-valued linear-linear
problems with a positivity constraint. This is done through a system
representation where the joint state/input covariance (the outer product
in the deterministic case) matrix is the fundamental object. LQ problems
then become infinite-dimensional semidefinite programs, and the key tool
used is that of linear-conic duality. Linear Matrix Inequalities (LMIs)
emerge naturally as conal constraints on dual problems. Riccati
equations characterize extrema of these special LMIs, and therefore
provide solutions to the dual problems. The state-feedback structure of
all optimal signals in these problems emerge out of alignment
(complementary slackness) conditions between primal and dual problems.
Perhaps the new insight gained from this approach is that first LMIs,
and then second, Riccati equations arise naturally in dual, rather than
primal problems. Furthermore, while traditional LQ problems are set up
in L 2 spaces of signals, their equivalent covariance-representation
problems are most naturally set up in L 1 spaces of matrix-valued
signals.