Computing LQG plant and controller perturbations

Using the dual Youla parametrizations of controller based coprime factor plant perturbations and plant based coprime factor controller perturbations, we provide a computational procedure for computing an optimal infinite horizon Linear Quadratic Gaussian (LQG) controller from any stabilizing controller. The method allows us to calculate a new optimal LQG controller from a previous one when the plant has slightly changed, and to quantify the change in the controller as a function of the change in the plant. In addition, we compute the degradation in the achieved LQG cost when the LQG controller is computed on the basis of a plant model that is `close to' the real plant, where the closeness is measured by some norm of the perturbation.