Abstract
A homotopy algorithm for a full-order LQG controller design problem with an H/sup /spl infin// constraint on disturbance attenuation is developed. The H/sup /spl infin// constraint is enforced by replacing the covariance Lyapunov equation by a Riccati equation whose solution gives an upper bound on H/sup 2/ performance. The numerical algorithm, based on homotopy theory, solves the necessary conditions for a minimum of the upper bound on H/sup 2/ performance. The algorithm is based on Ly, Bryson, and Cannon's 2/spl times/2 block parametrization (1985).
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