LQG control with an H-infinity / performance bound: a Riccati equation approach¶
Authors: D.S. Bernstein, W.M. Haddad
Published: 1989 (Journal Paper)
Source: IEEE Transactions on Automatic Control
Algorithm: H-infinity LQG Control
DOI: 10.1109/9.16419
Summary¶
Abstract¶
An LQG (linear quadratic Gaussian) control-design problem involving a constraint on H-infinity / disturbance attenuation is considered. The H-infinity / performance constraint is embedded within the optimization process by replacing the covariance Lyapunov equation by a Riccati equation whose solution leads to an upper bound on L2/ performance. In contrast to the pair of separated Riccati equations of standard LQG theory, the H-infinity /-constrained gains are given by a coupled system of three modified Riccati equations. The coupling illustrates the breakdown of the separation principle for the H-infinity / -constrained problem. Both full- and reduced-order design problems are considered with an H-infinity / attenuation constraint involving both state and control variables. An algorithm is developed for the full-order design problem and illustrative numerical results are given.