Linear-quadratic-Gaussian synthesis with reduced parameter sensitivity

We present a method for improving the tolerance of a conventional LQG controller to parameter errors in the plant model. The improvement is achieved by introducing additional terms reflecting the structure of the parameter errors into the LQR cost function, and also the process and measurement noise models. Adjusting the sizes of these additional terms permits a trade-off between robustness and nominal performance. Manipulation of some of the additional terms leads to high gain controllers while other terms lead to low gain controllers. Conditions are developed under which the high-gain approach asymptotically recovers the robustness of the corresponding full-state feedback design, and the low-gain approach makes the closed-loop poles asymptotically insensitive to parameter errors.