Max–Min Optimal Control of Constrained Discrete-time Systems

Abstract

This paper considers the optimal control problem for constrained discrete–time systems affected by measured and bounded disturbances and uncertainties in the underlying system equations. This problem setting leads to the sup–inf robust optimal control problems. Three classes of discrete–time systems permitting the characterization of the sup–inf value functions and robust optimal control policies are examined. The corresponding max–min optimal control problems are solved by using the dynamic programming.