Efficiency and optimality in constrained variance control Conference Paper uri icon


  • The constrained-variance control problem in which there are constraints on the magnitudes of each of the state variances is considered. This is a special case of a generalized constrained-cost problem. Assuming that a solution exists to the constrained-cost problem, multiobjective optimization theory is used to develop sufficient conditions for this problem to have an efficient (nondominated, Pareto-optimal) solution and for any efficient solution to solve an associated scalar optimization problem. It is then proved that these sufficient conditions are satisfied for the constrained-variance problem. Therefore, if a solution exists to the constrained-variance problem, then there exists a solution which also solves an optimal linear quadratic problem which weights only the state variances.

name of conference

  • 26th IEEE Conference on Decision and Control

published proceedings

  • 26th IEEE Conference on Decision and Control
  • Proceedings of the IEEE Conference on Decision and Control

author list (cited authors)

  • Collins, E. G., Skelton, R. E., & Morin, T. L.

citation count

  • 0

complete list of authors

  • Collins, EG||Skelton, RE||Morin, TL

publication date

  • December 1987