On the Strong Duality in Continuous-time and Discrete-time Linear Quadratic Regulators

This paper revisits the strong duality in the linear quadratic regulator (LQR) for continuous-time and discrete-time systems, and explores its interconnection with typical assumptions and the uniqueness of primal-dual solutions. Using a linear operator $\Psi$, we formulate a common nonconvex LQR problem that captures both time domains. We then derive its Lagrange dual problem and establish the strong duality via a rank-constrained tight semidefinite program (SDP) relaxation. Further, we show that the primal-dual optimal solutions to the SDP relaxation, after dropping the rank constraint, recover the classical algebraic Riccati equations and optimal feedback gains in a constructive manner. The dual derivation and strong duality analysis rely on mild standard assumptions and exploit the properties of the linear operator and its adjoint, revealing a structural symmetry between the two time domains.