Design of Affine Controllers via Convex Optimization

@article{Skaf2010DesignOA,
  title={Design of Affine Controllers via Convex Optimization},
  author={Jo{\"e}lle Skaf and Stephen P. Boyd},
  journal={IEEE Transactions on Automatic Control},
  year={2010},
  volume={55},
  pages={2476-2487}
}
We consider a discrete-time time-varying linear dynamical system, perturbed by process noise, with linear noise corrupted measurements, over a finite horizon. We address the problem of designing a general affine causal controller, in which the control input is an affine function of all previous measurements, in order to minimize a convex objective, in either a stochastic or worst-case setting. This controller design problem is not convex in its natural form, but can be transformed to an… 
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