Data-Driven LQR Control Design

This paper presents a data-driven solution to the discrete-time infinite horizon 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.