Tamer Basar

Pierre Bernhard

H- Optimal Control
and Related Minimax
Design Problems
A Dynamic Game Approach
Second Edition

Birkhuser
Boston Basel Berlin

1995

Contents
Preface

'x

A General Introduction to Minimax (H-Optimal) Designs

1.1

A Brief History

1.2

Discrete- and Continuous-Time Models

1.3

Robust Controller Design

1.3.1

Robust disturbance rejection

1.3.2

Norms

12

1.3.3

Robust control design

14

1.4

A Relationship Between #-Optimal Control and LQ ZeroSum Dynamic Games

26

1.5

Organization of the Book

28

1.6

Conventions, Notation, and Terminology

30

2 Basic Elements of Static and Dynamic Games

33

2.1

Static Zero-Sum Games

33

2.2

Discrete-Time Dynamic Games

37

2.3

Continuous-Time Dynamic Games

44

3 The Discrete-Time Minimax Design Problem with PerfectState Measurements

49

3.1

Introduction

49

3.2

The Soft-Constrained Linear-Quadratic Dynamic Game . .

51

3.2.1

Open-loop information structure for both players . .

51

3.2.2

Closed-loop perfect-state information for both players

53

3.2.3

Closed-loop 1-step delay information for both players

60

3.2.4

An illustrative example

63

vi

Contents
3.3

3.4
3.5

3.6
3.7
4

Solution to the Disturbance Attenuation Problem

3.3.1 General closed-loop information
3.3.2 Illustrative example (continued)

65
65
69

3.3.3

A least favorable distribution for the disturbance . .

72

3.3.4

Optimum controller under the 1-step delay information pattern

73

3.3.5 The full-information controller

The Infinite-Horizon Case
More General Classes of Problems
3.5.1 More general plants and cost functions
3.5.2 Nonzero initial state . . . . *
Extensions to Nonlinear Systems Under Nonquadratic
Performance Indices
Summary of Main Results

Continuous-Time
ments
4.1
4.2

Systems with Perfect-State

96
101
103
104

Measure107

Introduction
107
The Soft-Constrained Differential Game
109
4.2.1 Open-loop information structure for both players . . 109
4.2.2
4.2.3

4.3

76
77
96

Closed-loop perfect-state information for both players 115

Sampled-data information for both players
118

4.2.4 Delayed-state measurements

The Disturbance Attenuation Problem
4.3.1 Closed-loop perfect-state information
4.3.2

Sampled-state measurements

127
129
130
132

4.3.3 An illustrative example

4.3.4 Delayed-state measurements
The Infinite-Horizon Case
4.4.1 The soft-constrained differential game
4.4.2 The disturbance attenuation problem
4.4.3 Illustrative example (continued)

135
137
137
138
150
154

4.5

More General Classes of Problems

4.5.1 A more general cost structure
4.5.2 Unknown nonzero initial state

155
156
159

4.6

Nonlinear Systems and Nonquadratic Performance Indices . 160

4.4

Contents

vii
4.6.1

General nonlinear/nonquadratic structures

4.6.2

Special system dynamics where control

161
and/or

disturbance enter linearly

4.7

4.8
5

4.6.3

Linearization of systems linear in and w

171

4.6.4

Viscosity solutions

174

Connections with the Exponentiated Cost Stochastic Control

Problem and Stochastic Differential Games

178

4.7.1

Risk-sensitive stochastic control problem

179

4.7.2

A class of stochastic differential games

182

4.7.3

Connections with the nonlinear H control problem

185

Main Points of the Chapter

The Continuous-Time
Measurements

Problem

186
with

Imperfect-State
189

5.1

Formulation of the Problem

189

5.2

A Certainty Equivalence Principle and Its Application to the

Basic Problem T 7

192

5.3

Sampled-Data Measurements

213

5.4

The Infinite-Horizon Case

218

5.5

More General Classes of Problems

228

5.6
6

166

5.5.1

More general outputs

228

5.5.2

Delayed measurements

231

5.5.3 Nonlinear/nonquadratic problems

Main Results of the Chapter

The
Discrete-Time
Measurements

Problem

with

236
239
Imperfect-State
243

6.1

The Problem Considered

243

6.2

A Certainty Equivalence Principle and Its Application to the

Basic Problem V-y

247

6.3

The Infinite-Horizon Case

264

6.4

More General Classes of Problems

271

6.4.1

271

Cross terms in the performance index

6.4.2

Delayed measurements

274

6.4.3
6.4.4

Instantaneous feedback measurement

Nonlinear/nonquadratic problems

277
281

viii

Contents
6.5

282

Minimax Estimators and Performance Levels

285

7.1
7.2

Introduction
A Static Minimax Estimation Problem

285
288

7.3

Optimum Performance Levels

7.3.1 Discrete time
7.3.2 Continuous time
Continuous-Time H Filtering
Summary of Main Results

293
293
296
298
306

7.4
7.5
8

Main Points of the Chapter

Robustness to Regular and Singular Perturbations

8.1
8.2

8.3

8.2.2 A time-scale decomposition

8.2.3 Construction and optimality of composite controllers
Imperfect-State Measurements
8.3.1 Problem formulation and spatial decomposition . . .
8.3.2

8.4

309

Introduction
309
Regular and Singular Perturbations, and Perfect-State
Measurements
310
8.2.1 Problem formulation and spatial decomposition . . . 310
316
328
331
331

Time-scale decomposition and optimal slow controller 337

Summary of Main Results

345

9 Appendix A: Conjugate Points and Existence of Value

9.1 Conjugate Points in Finite-Horizon Games
9.2 Infinite-Horizon LQ Differential Games

347
347
361

10 Appendix B: Danskin's Theorem

383

Bibliography

391

List of Corollaries, Definitions, Facts, Lemmas, Propositions,

Remarks, and Theorems
Index

405
409