Data-Driven LQR Control Design

This letter presents a data-driven solution to the discrete-time infinite horizon linear quadratic regulator (LQR) problem. The state feedback gain is computed directly from a batch of input and state data collected from the plant. Simulation examples illustrate the convergence of the proposed solution to the optimal LQR gain as the number of Markov parameters tends to infinity. Experiments in an uninterruptible power supply are presented, which demonstrate the practical applicability of the design methodology.