An LQG approach to systems with saturating actuators and anti-windup implementation (Q1886201)

A LQG control problem with saturation of the control signal is considered. In the proposed approach, a linear controller is designed explicitly taking into account saturation. It is shown that the obtained controllers do not require an anti-windup implementation, in the sense that adding any anti-windup cannot reduce the performance index. Results obtained are based on the method of stochastic linearization, which is a quasi-linearization technique similar to the describing function description. According to this method, the saturating actuator is replaced by a linear model with a gain which is a function of the variance of the signal at its input.