A Convergent Algorithm for the Output Covariance Constraint Control Problem
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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.
SIAM Journal on Control and Optimization
author list (cited authors)
Zhu, G., Rotea, M. A., & Skelton, R.
complete list of authors
Zhu, G||Rotea, MA||Skelton, R