Uniqueness of local minima for linear quadratic control design (Q762033)

The following problem is considered: For a scalar discrete-time stochastic linear system, find the linear regulator that minimizes a given weighted sum of the input and output variances. This is viewed as an optimization problem with the parameters of the regulator as unknowns, and it is shown that if the order of the regulator is high enough then every local minimum to the problem is a global optimum. This result is useful if a gradient method is used to find the optimal regulator.