Infinite horizon linear quadratic tracking problem: A discounted cost function approach

Summary The discounted cost function approach is one of the main approaches to the infinite time horizon problems in economics and market. This paper introduces a causal and optimal solution based on the discounted cost function approach for infinite horizon linear quadratic tracking problem with disturbance rejection and the problem of disturbance tracking by presenting the theoretical foundations. It is shown that the proposed method has the ability to solve the problems where the reference inputs and disturbance signals are not asymptotically stable. Two numerical examples, a grid connection of voltage source power electronic converter as a SISO system and a load frequency control of a 2‐area nonreheat thermal power system as a MIMO example, are presented to illustrate the effectiveness of the proposed method.