Landscape of LQG problems

This repository contains the MATLAB scripts for reproducing the experiments in our paper

1. Yang Zheng*, Yujie Tang*, and Na Li (2020). Analysis of the Optimization Landscape of Linear Quadratic Gaussian (LQG) Control. under preparation. A preliminary version is here: LINK (*Equal contribution)

Instructions

The gradient descent algorithms are implemented in

• LQG_gd_cano.m (partial gradient over the controllable canonical form)
• LQG_gd_full.m (full gradient)

Run Example_Doyle.m to see some performance; more examples are included in the Examples folder.