Efficiency and optimality in constrained variance control Conference Paper

abstract

• 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

authors

• Skelton, Robert

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

publisher

• Institute of Electrical and Electronics Engineers (IEEE)  Publisher

published in

• IEEE Conference on Decision and Control  Journal

Digital Object Identifier (DOI)

• 10.1109/cdc.1987.272499

start page

• 792

end page

• 793

volume

• 26

URL

• http://dx.doi.org/10.1109/cdc.1987.272499