A Convergent Algorithm for the Output Covariance Constraint Control Problem

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 ≤ Y i, where Y 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 discreteand continuous-time problems are considered.