Minimax optimal control of linear system with input-dependent uncertainty |
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| Authors: | Changzhi Wu Kok Lay Teo Xiangyu Wang |
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| Institution: | 1. School of Built Environment, Curtin University, WA, Australia;2. School of Mathematics and Statistics, Curtin University, WA, Australia |
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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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