An LQG optimal design in the stochastic system with saturated driving

In this paper, a stability criterion for stochastic multivariable feedback systems with saturated actuators is derived. An algorithm is proposed to choose an appropriate scalar weighting of LQG performance index to satisfy the stabililty criterion, and then a robust LQG optimal controller is obtained to override the windup phenomenon incurred by saturated actuators employed in control systems. Finally, a design procedure is provided to search for the adequate scalar weighting.