A Linear Matrix Inequality Solution to the Input Covariance Constraint Control Problem

Abstract

In this paper, the input covariance constraint (ICC) control problem is solved by a convex optimization with linear matrix inequality (LMI) constraints. The ICC control problem is an optimal control problem that is concerned with finding the best output performance possible subject to multiple constraints on the input covariance matrices. The contribution of this paper is the characterization of the control synthesis LMIs used to solve the ICC control problem. To demonstrate the effectiveness of the proposed approach a numerical example is solved with the control synthesis LMIs. Both discrete and continuous-time problems are considered.