A Unified Alternating Optimization Framework for Joint Sensor and Actuator Configuration in LQG Systems

Abstract: This paper fills a gap in the literature by considering a joint sensor and actuator configuration problem under the linear quadratic Gaussian (LQG) performance without assuming a predefined set of candidate components. Different from the existing research, which primarily focuses on selecting or placing sensors and actuators from a fixed group, we consider a more flexible formulation where these components must be designed from scratch, subject to general-form configuration costs and constraints. To address this challenge, we first analytically characterize the gradients of the LQG performance with respect to the sensor and actuator matrices using algebraic Riccati equations. Subsequently, we derive first-order optimality conditions based on the Karush-Kuhn-Tucker (KKT) analysis and develop a unified alternating direction method of multipliers (ADMM)-based alternating optimization framework to address the general-form sensor and actuator configuration problem. Furthermore, we investigate three representative scenarios: sparsity promoting configuration, low-rank promoting configuration, and structure-constrained configuration. For each scenario, we provide in-depth analysis and develop tailored computational schemes. The proposed framework ensures numerical efficiency and adaptability to various design constraints and configuration costs, making it well-suited for integration into numerical solvers.