This paper is concerned with the investigation of the closed-loop structure of a discrete–time H∞ control system. It is shown that discrete–time H∞ controller is represented, like Linear Quadratic Gaussian control, as a pseudo state feedback, that is, a state feedback interconnected with an observer. However, in the discrete-time H∞ control problem the control structure is more complicated sinc...

In this paper we use the information-state approach to obtain solutions to risk-sensitive quadratic control problems. Speci cally we consider the case of tracking a desired trajectory. Results are presented for linear discrete-time models with Gaussian noise, and also for nite-discrete state, discrete-time hidden Markov models with continuous-range observations. These results give insight to mo...

A framework for robustness analysis of input constrained nite receding horizon control is presented. Under the assumption of quadratic upper bounds on the nite horizon costs, we derive suucient conditions for robust stability of the standard discrete-time linear-quadratic receding horizon control formulation. This is achieved by recasting conditions for nominal and robust stability as an implic...

We consider Euler discretizations to a class of linear-quadratic optimal control problems. Assuming that the discrete controls are of bang-bang type and define switching functions with a uniform structure independent of the discretization we show, that the discrete controls converge to a bang-bang control, which is a solution of the original problem.

This work is devoted to numerical studies of nearly optimal controls of systems driven by singularly perturbed Markov chains. Our approach is based on the ideas of hierarchical controls applicable to many large-scale systems. A discrete-time linear quadratic control problem is examined. Its corresponding limit system is derived. The associated asymptotic properties and near optimality are demon...

This paper characterizes the solution to a finite horizon min-max optimal control problem where the system is linear and discrete-time with control and state constraints, and the cost quadratic; the disturbance is negatively costed, as in the standard H ∞ problem, and is constrained. The cost is minimized over control policies and maximized over disturbance sequences so that the solution yields...

This paper obtains an explicit solution to a finite horizon min-max optimal control problem where the system is linear and discrete-time with control and state constraints, and the cost quadratic; the disturbance is negatively costed, as in the standard H∞ problem, and is constrained. The cost is minimized over control policies and maximized over disturbance sequences so that the solution yield...

The algebraic regulator and filter Riccati equations of weakly coupled dticrere-rime stochastic linear control systems are completely and exactly decomposed into reduced-order continuous-time algebraic Riccati equations corresponding to the subsystems. That is, the exact solution of the global discrete algebraic Riccati equation is found in terms of the reduced-order subsystem nonsymmetric cont...

In this paper we propose an.efficient algorithm for computing the solution to the finite time optimal control problem for discrete time linear hybrid systems with a quadratic performance criterion. The algorithm is based on a dynamic programming recursion and a multiparametric quadratic programming solver.