LQR Controller (Linear Quadratic Regulator)

Overview & Motivation

When a state-space model of the plant is available, the Linear Quadratic Regulator provides the mathematically optimal state-feedback gain. Instead of manually tuning three knobs (as with PID), LQR asks a more principled question: given how much I care about state deviation versus control effort, what is the cheapest way to drive the state to zero?

The answer is a constant gain matrix $K$ such that the control law $u[k] = -Kx[k]$ minimizes an infinite-horizon quadratic cost. The elegance of LQR is that this problem has a closed-form solution through the Discrete Algebraic Riccati Equation (DARE).

For embedded systems, the gain $K$ can be computed offline and stored as a constant — the runtime cost is then a single matrix-vector multiplication per control step.

Mathematical Theory

Discrete-Time State-Space System

$x[k+1] = Ax[k] + Bu[k]$

where $x \in \mathbb{R}^n$ is the state, $u \in \mathbb{R}^m$ is the control input, $A$ is the state transition matrix, and $B$ is the input matrix.

Cost Function

The LQR minimizes the infinite-horizon quadratic cost:

$J = \sum_{k=0}^{\infty} \left( x[k]^T Q \, x[k] + u[k]^T R \, u[k] \right)$

where:

• $Q \succeq 0$ (positive semi-definite) penalizes state deviation.
• $R \succ 0$ (positive definite) penalizes control effort.

Optimal Gain via DARE

The solution requires finding the matrix $P$ that satisfies the Discrete Algebraic Riccati Equation:

$P = A^T P A - A^T P B \left(R + B^T P B\right)^{-1} B^T P A + Q$

The optimal gain is then:

$K = \left(R + B^T P B\right)^{-1} B^T P A$

and the optimal control law is $u[k] = -Kx[k]$.

Existence and Uniqueness

A unique stabilizing solution $P$ exists when:

1. $(A, B)$ is stabilizable (all unstable modes are controllable).
2. $(A, C)$ is detectable (where $Q = C^T C$).

Bryson's Rule (Initial Weight Selection)

$Q_{ii} = \frac{1}{(\text{max acceptable } x_i)^2}, \qquad R_{jj} = \frac{1}{(\text{max acceptable } u_j)^2}$

Complexity Analysis

Phase	Time	Space	Notes
DARE solve (offline)	$O(I \cdot n^3)$	$O(n^2)$	$I$ iterations, each involving $n \times n$ matrix operations
Control step (online)	$O(n \cdot m)$	$O(n \cdot m)$	Single matrix-vector multiply $u = -Kx$

The DARE iteration is the expensive part, but it is done once (offline or at initialization). The per-sample cost is just a matrix-vector product.

Step-by-Step Walkthrough

System: Double integrator with $\Delta t = 0.01$

$A = \begin{bmatrix} 1 & 0.01 \\ 0 & 1 \end{bmatrix}, \quad B = \begin{bmatrix} 0.00005 \\ 0.01 \end{bmatrix}$

$Q = \begin{bmatrix} 100 & 0 \\ 0 & 1 \end{bmatrix}, \quad R = [1]$

Step 1 — Initialize $P_0 = Q$

Step 2 — DARE iteration (showing first iteration):

1. $S = R + B^T P_0 B = 1 + [0.00005\; 0.01] \begin{bmatrix}100 & 0\\0 & 1\end{bmatrix} \begin{bmatrix}0.00005\\0.01\end{bmatrix} = 1.0001$
2. Solve $S \cdot K_{\text{part}} = B^T P_0 A$ via Gaussian elimination
3. Update $P_1 = A^T P_0 A - A^T P_0 B \cdot K_{\text{part}} + Q$
4. Check convergence: $\|P_1 - P_0\|$

Step 3 — Repeat until $\|P_{k+1} - P_k\| < \varepsilon$ (typically 10–30 iterations).

Step 4 — Extract gain $K = (R + B^T P B)^{-1} B^T P A$

Runtime: $u[k] = -K x[k]$ — a $1 \times 2 times \2 \times 1$ multiply per sample.

Pitfalls & Edge Cases

• Uncontrollable modes. If $(A, B)$ is not stabilizable, the DARE has no stabilizing solution. Verify controllability before calling the solver.
• Ill-conditioned $R$. If $R$ is near-singular, the inversion in $K$ becomes numerically unstable. Ensure $R$ is strictly positive definite.
• Q/R scaling. Only the ratio of $Q$ to $R$ matters. Scaling both by the same factor does not change $K$.
• Full state required. LQR assumes all states are measured. If only partial measurements are available, combine LQR with a Kalman Filter to form an LQG controller.
• Fixed-point limitations. The DARE involves matrix inversions and multiplications that can overflow Q15/Q31 ranges. Prefer floating-point for the offline solve; use the pre-computed $K$ constructor for fixed-point runtime.

Variants & Generalizations

Variant	Key Difference
Continuous-time LQR	Solves the Continuous ARE instead of DARE; used for continuous-time plant models
LQG (Linear Quadratic Gaussian)	Combines LQR with Kalman filter for systems with noisy, partial observations
LQR with integral action	Augments the state with integral of tracking error to eliminate steady-state offset
Finite-horizon LQR	Time-varying gain $K[k]$ for finite-duration tasks
Robust LQR (H∞)	Accounts for model uncertainty by optimizing the worst-case cost
Pre-computed gain	$K$ is computed offline (e.g., in MATLAB with dlqr) and hard-coded for embedded targets

Applications

• Cart-pole balancing — Classic underactuated system; LQR linearized around the upright equilibrium.
• Quadrotor attitude control — Regulating roll, pitch, yaw with motor thrust as input.
• Satellite station-keeping — Maintaining orbital position with minimal thruster fuel.
• Industrial process control — Multi-input multi-output (MIMO) systems where PID struggles.
• Autonomous vehicles — Lateral and longitudinal control using a linearized vehicle model.

Connections to Other Algorithms

graph LR
    LQR["LQR Controller"]
    DARE["DARE Solver"]
    GE["Gaussian Elimination"]
    KF["Kalman Filter"]
    PID["PID Controller"]
    DARE --> LQR
    GE --> DARE
    KF -->|"state estimate"| LQR
    PID -.->|"model-free alternative"| LQR

Algorithm	Relationship
DARE Solver	Computes the cost-to-go matrix $P$ from which $K$ is derived
Gaussian Elimination	Used inside DARE iteration to solve linear sub-systems
Kalman Filter	Provides state estimates when direct measurement is unavailable (forming LQG)
PID Controller	Model-free alternative; simpler to deploy but not optimal

References & Further Reading

• Anderson, B.D.O. and Moore, J.B., Optimal Control: Linear Quadratic Methods, Prentice Hall, 1990.
• Franklin, G.F., Powell, J.D. and Emami-Naeini, A., Feedback Control of Dynamic Systems, 8th ed., Pearson, 2019 — Chapter 9.
• Bryson, A.E. and Ho, Y.-C., Applied Optimal Control, Hemisphere, 1975.