Near-optimal output feedback regulation of ill-conditioned linear systems

A two-time scale approximation for the linear quadratic optimal output feedback regulator program is examined. Necessary conditions for optimality, as well as an algorithm for computing locally near-optimal gains are derived. If it is assumed that the slow and fast subsystem initial conditions are uniformly distributed, optimal gains for the two-time-scale problem provide a second-order approximation to optimal closed-loop performance in the unperturbed system. This is verified with a numerical example.<
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