Convergence Analysis using non-squares estimators to approximate the solution of HJB-Riccati equation for the design DLQR via HDP

The proposed methodology is based on development of online algorithms for approximate solutions of the Hamilton-Jacobi-Bellman (HJB) equation through a family of non-squares approximators for critic adaptive solution of the Discrete Algebraic Riccati Equation (DARE), associated with the problem of Discrete Linear Quadratic Regulator (DLQR). The proposed method is evaluated in a multivariable dynamic system of 4th order with two inputs and it is compared with standard recursive least square algorithm.