Minimax optimal control of linear system with input-dependent uncertainty
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Wu, Changzhi
Teo, Kok Lay
Wang, Xiangyu
Date
2014Type
Journal Article
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Wu, Changzhi and Teo, Kok Lay and Wang, Xiangyu. 2014. Minimax optimal control of linear system with input-dependent uncertainty. Journal of the Franklin Institute. 351 (5): pp. 2742-2753.
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Journal of the Franklin Institute
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Abstract
In this paper, the quadratic minimax optimal control of linear system with input-dependent uncertainty is studied. We show that it admits a unique solution and can be approximated by a sequence of finite-dimensional minimax optimal parameter selection problems. These finite-dimensional minimax optimal parameter selection problems are further reduced to scalar optimization problems which also admit unique solutions. Thus, the original minimax optimal control problem is solved via solving a sequence of simple scalar optimization problems. Numerical experiments are presented to illustrate the developed method.
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