This paper presents an iterative LQG controller design approach for a linear stochastic system with an uncertain openloop model and unknown noise statistics. This approach consists of closed-loop identification and controller redesign cycles. In each cycle, the closed-loop identification method is used to identify an open-loop model and a steady-state Kalman filter gain from closed-loop input/output test data obtained by using a feedback LQG controller designed from the previous cycle. Then the identified open-loop model is used to redesign the state feedback. The state feedback and the identified Kalman filter gain are used to form an updated LQG controller for the next cycle. This iterative process continues until the updated controller converges. The proposed controller design is demonstrated by numerical simulations and experiments on a highly unstable large-gap magnetic suspension system.

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