Abstract
In this paper, we obtain the solution to the discrete‐time, linear‐quadratic, finite‐horizon disturbance rejection problem, with hard bounds on the disturbance and with a known or an unknown non‐zero initial state. It is shown that there exist two regions in the space of initial conditions: one where a pure‐strategy saddle point exists, and the other where no pure‐strategy saddle point exists. In the latter region, the structure of the minimax controller is fixed throughout, and a saddle point exists in the class of mixed policies. The paper also develops a general algorithm for the construction of such saddle points under different information structures, and illustrates this algorithm on a numerical example.
Original language | English (US) |
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Pages (from-to) | 1-30 |
Number of pages | 30 |
Journal | International Journal of Robust and Nonlinear Control |
Volume | 2 |
Issue number | 1 |
DOIs | |
State | Published - May 1992 |
ASJC Scopus subject areas
- Control and Systems Engineering
- Chemical Engineering(all)
- Biomedical Engineering
- Aerospace Engineering
- Mechanical Engineering
- Industrial and Manufacturing Engineering
- Electrical and Electronic Engineering