On Application of the Ray-Shooting Method for LQR via Static-Output-Feedback

In this article we suggest a randomized algorithm for the LQR (Linear Quadratic Regulator) optimal-control problem via static-output-feedback. The suggested algorithm is based on the recently introduced randomized optimization method called the Ray-Shooting Method that efficiently solves the global minimization problem of continuous functions over compact non-convex unconnected regions. The algorithm presented here is a randomized algorithm with a proof of convergence in probability. Its practical implementation has good performance in terms of the quality of controllers obtained and the percentage of success.