Computing Lqg Plant and Controller Perturbations

Using the dual Youla parametrizations of controller based coprime factor plant perturbations and plant based co-prime factor controller perturbations, we provide a computational procedure for computing an optimal innnite horizon Linear Quadratic Gaussian (LQG) controller from any stabilizing controller. The method allows us to calculate a new optimal LQG controller from a previous one when the plant has slightly changed, and to quantify the change in the controller as a function of the change in the plant. In addition, we compute the degradation in the achieved LQG cost when the LQG controller is computed on the basis of a plant model that is \close to" the real plant, where the closeness is measured by some norm of the perturbation.