Minimax control under a bound on the partial covariance sequence of the disturbance

  title={Minimax control under a bound on the partial covariance sequence of the disturbance},
  author={Sergei V. Gusev},
A discrete-time linear SISO plant that is acted on by a stochastic disturbance is considered. It is assumed that a restriction on the partial covariance sequence of the disturbance is given. The cost function is a maximum of the closed-loop system output variance over the class of disturbances. The problem is to find the optimal linear stabilizing regulator. The transfer function of the optimal closed-loop system is constructed in explicit form. It is shown that the minimax regulator is… CONTINUE READING

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