Finite time horizon multiobjective filtering and control

Abstract

Abstract An important problem in feedback control design is to achieve desired performance under both system uncertainties and external white noise disturbances. For this purpose, it is desirable to develop a systematicdesign technique that takes the advantages of the good aspects of both LQG (or H 2 ) and H ∞ methods, which provides the motivation for the multiobjective design framework developed in this paper. Encouraged by the development of a time domain game approach for H 2 /H ∞ control, three multiobjective design problems related to filtering and control are formulated on finite time horizon and are solved in this paper.