The paper is concerned with simultaneous linear-quadratic (LQ) optimal control design for a set of LTI systems via piecewise constant output feedback. First, the discrete-time simultaneous LQ optimal control design problem is reduced to solving a set of coupled matrix inequalities and an iterative LMI algorithm is presented to compute the feedback gain. Then, simultaneous stabilization and simu...

A method is proposed for reducing the cost of computing search directions in an interior point method for a quadratic program. The KKT system is partitioned and modified, based on the ratios of the slack variables and dual variables associated with the inequality constraints, to produce a smaller, approximate linear system. Analytical and numerical results are included that suggest the distribu...

We develop a numerically efficient algorithm for computing controls for nonlinear systems that minimize a quadratic performance measure. We formulate the optimal control problem in discrete-time, but many continuous-time problems can also be solved after discretization. Our approach is similar to sequential quadratic programming for finite-dimensional optimization problems in that we solve the ...

Stochastic control design techniques found in the chemical process control literature generally focus on the reduction of state or output variance to improve process operation. Most of these techniques address the problem of minimizing a quadratic cost function subject to linear process dynamics. In these cases, a linear feedback control law results and the disturbance, state and output PDF’s a...

We verify strong rates of convergence for a time-implicit, finite-element based space-time discretization the backward stochastic heat equation, and forward-backward equation from optimal control. The fully discrete version is then used within gradient descent algorithm to approximately solve linear-quadratic control problem driven by additive noise. This work thus giving theoretical foundation...