Global Improvement Methods for State-Linear Controllable Dynamical Systems

Here we discuss various step-by-step methods for improving a given control function in a deterministic linear-in-state dynamical system with respect to a terminal quality functional. Such a problem appears, for example, when we try to construct a structured linear regulator for a stochastic controllable system that minimizes quadratic cost (stochastic LQ-problem with structural constraints). In this paper we consider both well-known approaches and a new, different algorithm.