Conditions for optimality over H/sup infinity /: numerical algorithms

摘要

A numerical algorithm for solving a fundamental optimisation problem, OPT/sup infinity /, is presented. It is second-order convergent and performs very well in numerical experiments. The algorithm is based directly on the theoretical optimality conditions for OPT/sup infinity /. An effective way to apply Newton's method to these conditions was found. This produces a tight theory which goes immediately from qualitative properties a designer would want to know to algorithms.