XXooptRobotics

Scalar LQR: solving the Riccati equation for the optimal gain

hardnumerical

General

Consider the scalar LTI system x˙=ax+bu\dot{x} = ax + bu with a=1a = 1, b=1b = 1 (open-loop unstable). You design an infinite-horizon continuous-time LQR controller minimizing J=0(qx2+ru2)dtJ = \int_0^{\infty} \left( q\,x^2 + r\,u^2 \right) dt with q=3q = 3 and r=1r = 1. The optimal control is u=Kxu = -Kx where K=brPK = \frac{b}{r}P and P>0P > 0 solves the control algebraic Riccati equation (CARE). Compute the resulting closed-loop pole (the eigenvalue of abKa - bK).

1/s (rad/s)