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Control Theory: What are some good tutorials on LQG/LQR?

http://en.wikipedia.org/wiki/Linear-quadratic-Gaussian_control
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5 Answers

Somil Bansal, Graduate Student in Control Theory at UC Berkeley

Answered Jun 11, 2017
Thanks for the A2A.

If you are familiar with the state-space representation of systems, you may find
this LQR tutorial helpful. I wrote it for a control class that I was teaching at UC
Berkeley.

Prof. Pieter Abbeel does a great job at covering different variants of LQR and
Kalman filter. You can find his slides here. His focus, however, is more on the
application side. If you are interested in the theoretical analysis of LQR, the
optimal control course in MIT open courseware might be a good place to start. The
LQR related notes can be found here. The course also cover LQG a little bit here.

I can�t think of any good LQG tutorial at the moment, but I will post something
later.

3k Views � View 8 Upvoters � Answer requested by Youngjin Hyun

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Chris D'Angelo, A student of control theory

Answered Jun 23, 2016
This depends upon how in-depth you�d like to understand the concepts. I�m not aware
of any 30 minute video that exists that teaches you the ins-and-outs of linear
quadratic regulators or linear quadratic gaussian techniques since I�ve never tried
to look for them.

There is some very elegant theory behind LQR/LQG and I believe that it is
definitely worthwhile to spend time really understanding this theory, since linear
quadratic regulation is about as fundamental as PID control in control theory. I�m
going to provide you with three sources that I find to be useful for self-teaching
these concepts. I will say that the sources that I am providing go more into LQR
theory, which must be understood before you extend into LQG. If you�re really
looking to whet your mathematical chops you can spend time learning about the
Calculus of Variations before you get into studying linear quadratic regulators.
This would give you a really solid foundation for deeply understanding how the LQR
works.

If you have access to Matlab and want to build a linear quadratic regulator for
some linear, time invariant system I can tell you how to do that in about two lines
of code, but I assume that you want to understand this in greater depth.

The California Institute of Technology (CalTech) has been, and is, very, very
strong in the area of control theory. Many of their lecture notes are available
online and I strongly recommend you read any that you can get your hands on. John
Doyle and Richard Murray are both at CalTech and they have posted some of their
course notes (and have both authored several books) on various control theoretic
topics.

https://www.cds.caltech.edu/~mur...

If you search a little harder you can find more on LQR out of CalTech than just the
notes that I�ve provided a link to.

Secondly, you can always look into the MIT OpenCourseware on Optimal Control:

Principles of Optimal Control

And lastly, I recommend you consider purchasing this book written by Donald Kirk
(it is only about $20) on Optimal Control Theory. It was written in 1970 but is, of
course, still very relevant and IMO a great text on the topic. When I took this
course I used Frank L. Lewis, Draguna Vrabie, Vassilis L. Syrmos: 9780470633496:
Amazon.com: Books but also bought the book by Kirk as a supplement since I was told
by faculty at my graduate institution that it was a great book to own and learn
from. Here is the book by Kirk:

An Introduction (Dover Books on Electrical Engineering): Donald E. Kirk:

9780486434841: Amazon.com: Books

4.2k Views � View 5 Upvoters � Answer requested by Antonio Pombeiro

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Omanshu Thapliyal, works at Purdue University

Answered Nov 17, 2014 � Author has 613 answers and 2.1m answer views
Lectures and notes from Prof. Russ Tedrake of MIT are really impressive and easy to
understand, and taught with an application motive.
http://people.csail.mit.edu/russt/underactuated/underactuated.html?chapter=10
3.4k Views � View 8 Upvoters

Aditya Ramesh, Grad Student at University of Michigan

Answered Feb 5, 2018
If you need a quick introduction you must consider looking through the Control
Bootcamp. Its a set of videos on youtube by Prof. Steve Brunton from University of
Washington.

Control Bootcamp: Linear Quadratic Regulator (LQR) Control for the Inverted
Pendulum on a Cart

Control Bootcamp: Linear Quadratic Gaussian (LQG)

728 Views � View 1 Upvoter

Philipp Benz, Diploma from Kaiserslautern University of Technology (2016)

Answered Apr 21, 2017
I think that this video by Dr. Jake Abbott from the university of Utah really helps
by starting with LQR. Afterward, getting into the resources mentioned by Chris
D�Angelo should be considered.

495 Views
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