Abstract
ABSTRACTFor a given initial state, a constrained infinite horizon linear quadratic optimal control problem can be reduced to a finite dimensional problem [12]. To find a conservative estimate of the size of the reduced problem, the existing algorithms require the on‐line solutions of quadratic programs [10] or a linear program [2]. In this paper, we first show based on the Lyapunov theorem that the closed‐loop system with a mixed constrained infinite horizon linear quadratic optimal control is exponentially stable on proper sets. Then the exponentially converging envelop of the closed‐loop trajectory that can be computed off‐line is employed to obtain a finite dimensional quadratic program equivalent to the mixed constrained infinite horizon linear quadratic optimal control problem without any on‐line optimization. The example considered in [2] showed that the proposed algorithm identifies less conservative size estimate of the reduced problem with much less computation.
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