The Linear Quadratic Regulator

The Linear Quadratic Regulator
Laurent Lessard
Article / Blog

In these notes, we will derive the solution to the finite-horizon linear quadratic regulator (LQR) problem in several different ways. Fundamentally, LQR can be viewed as a large least-squares problem, but we are interested in the recursive solution because it can be efficiently computed (storage and computation scale linearly with the length of the time horizon).



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