This paper presents an application of a design method of robust H∞ optimal control to a structural control system. A dynamic model for a building structure under earthquake and wind excitations is considered. Structured uncertainties are introduced to reflect errors between the model and the reality. To obtain the best possible performance in the face of uncertainties, robust H∞ optimal control...

In this paper, the problem of generalised minimum variance control of linear time-varying systems is studied. A time-varying optimal controller is developed for a standard controlled autoregressive moving average model using a cost function that is the sum of the plant output tracking error variance plus a penalty term of the squared manipulated variable. Copyright © 2005 IFAC

We develop a dynamic trading strategy in the Linear Quadratic Regulator (LQR) framework. By including price mean-reversion signal into optimization program, environment where market impact is linear and stage costs are quadratic, we obtain an optimal curve that reacts opportunistically to changes while retaining its ability satisfy smooth or hard completion constraints. The allocation affine sp...