Robust Policy Iteration for Continuous-Time Linear Quadratic Regulation

This article studies the robustness of policy iteration in the context of continuous-time infinite-horizon linear quadratic regulator (LQR) problem. It is shown that Kleinman's policy iteration algorithm is small-disturbance input-to-state stable, a property that is stronger than Sontag's local input-to-state stability but weaker than global input-to-state stability. More precisely, whenever the e...