A Convergent Algorithm for the Output Covariance Constraint Control Problem Academic Article uri icon


  • This paper considers the optimal control problem of minimizing control effort subject to multiple performance constraints on output covariance matrices Yi of the form Yi i, where i is given. The contributions of this paper are a set of conditions that characterize global optimality, and an iterative algorithm for finding a solution to the optimality conditions. This iterative algorithm is completely described up to a user-specified parameter. We show that, under suitable assumptions on problem data, the iterative algorithm converges to a solution of the optimality conditions, provided that this parameter is properly chosen. Both discrete- and continuous-time problems are considered.

published proceedings

  • SIAM Journal on Control and Optimization

author list (cited authors)

  • Zhu, G., Rotea, M. A., & Skelton, R.

citation count

  • 51

complete list of authors

  • Zhu, G||Rotea, MA||Skelton, R

publication date

  • January 1997