GUARANTEED COST CONTROL OF UNCERTAIN DISCRETE-TIME SYSTEMS

摘要

This paper considers the problem of LQR design for uncertain discrete-time systems. The system under consideration has time-varying, norm-bounded parameter uncertainties in both the state and input matrices. The problem we address is the design of a state feedback control law such that the cost of the system is guaranteed to be within a certain bound for all admissible uncertainties. We show that the optimal guaranteed cost control is related to a recursive Riccati difference equation for the finite horizon case and to a "game type" discrete-time Riccati equation for the infinite horizon case.