SELECTION OF WEIGHTING MATRICES FOR THE DESIGN OF LINEAR REGULATOR SYSTEMS
NAVAL POSTGRADUATE SCHOOL MONTEREY CA
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The relationship between the weighting matrices and the design objectives for finite-final-time linear regulator systems is considered. An iterative algorithm is presented for selecting a weighting matrix that reduces the absolute difference between the actual and desired values of a vector design measure. The algorithm used the sensitivities of the vector design measure to determine changes for the weighting matrix. These sensitivities are approximated by finite-difference perturbations of the weighting matrix elements. Examples are presented that illustrate the design procedure.
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