Numerical Computation of Cross-Coupled Algebraic Riccati Equations Related to H∞-Constrained LQG Control Problem
نویسنده
چکیده
In this paper, the numerical algorithm for solving the state and output feedback H∞-constrained LQG control problem is investigated. Although the equations that have to be solved to design the controller consist of the nonlinear crosscoupled algebraic Riccati equations (CAREs), it is newly proven that both the uniqueness and the positive semidefiniteness of the iterative solutions can be guaranteed when disturbance attenuation level γ is sufficiently large. The computational examples are given to demonstrate the efficiency of the proposed algorithm. keywords: state and output feedback H∞-constrained LQG control problem, cross-coupled algebraic Riccati equation (CARE), Newton’s method, Newton-Kantorovich theorem, reduced-order algorithm.
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