Iterative weighted least-squares identification and weighted LQG control design

Abstrart-Many practical applications of control system design based on input-output measurements permit the repeated application of a system identification procedure operating on closed-loop data together with successive refinements of the designed controller. Here we develop a paradigm for such an iterative design. The key to the procedure is to account for evaluated modelling error in the control design and, equally, to let the closed-loop controller requirements determine the identification criterion. With an H2 control problem, this is achieved by frequency weighting the linear-quadratic Gaussian (LQG) control criterion with filters that reflect the closed-loop plant/model mismatch, and by filtering the identifier signals used in a least-squares identification scheme in a logical and mutually supportive fashion.