Error Bounds in the Discretisation of the Input-Constrained LQR Problem
نویسندگان
چکیده
This paper studies the discrete-time sampled-data approximation of the input-constrained finite-horizon linear quadratic regulator problem. Explicit estimates for the error in the performance index rendered by the solution of a discrete-time approximation are provided. This result can be used to evaluate the level of sub-optimality of the sampled-data solution corresponding to a given discretisation interval, or to compute a discretisation interval length that guarantees a given approximation error. In addition, the (in general) unknown structure of the solution of the continuous-time constrained linear quadratic regulator problem can be investigated via this discrete-time approximation result. Examples of such a study are provided.
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