Stability robustness of the continuous-time LQG system under plant perturbation and noise uncertainty

Abstract

In this paper the robustness of the continuous-time LQG problem is studied. The system to be controlled is described by the usual state space formulation that includes the structure of plant parameter perturbations and noise uncertainty. A simple method is given to prove the saddle point inequality of the closed-loop system performance to cope with noise uncertainty. One sufficient condition, which is applicable to general linear systems, for system stability robustness under plant perturbation, is presented.