The design of optimal compensators for linear constant systems with inaccessible states

This paper considers the problem of designing an optimal linear time-invariant dynamic compensator for the regulation of annth-order linear time-invariant plant. The usual quadratic cost on the state and control is averaged over initial plant state values. The globally optimal compensator gains and dynamic order are determined by showing that this problem is mathematically identical to a steady-state stochastic control problem whose optimal solution is known.