Standard discrete-time LQG theory is generalized to a regulation problem involving a priori specified nonzero set points for the state and control variables and nonzero-mean disturbances. The optimal control law consists of a closed loop component feeding back measurements and a constant open-loop component which accounts for the nonzero set point and the nonzero mean disturbance. For generality, the results are obtained for the problem of fixed-order (i.e., full- and reduced-order) dynamic compensation. It is shown that the closed-loop controller can be designed independently of the open-loop control.
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