Optimizing the Selection of the Weighting Matrices Q and R in Linear Quadratic Regulator

A method for determining the weighting matrices Q and R in the linear stationary system control by a linear quadratic regulator is proposed. By minimizing the error, the coefficients in the weighting matrices Q and R are optimized. The proposed method allows the setting of even unknown systems, and knowing the behavior of the system it can be used to accurately adjust the operation of a particular channel.