A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances

W.A. van den Broek, Jacob Engwerda () and Johannes M. Schumacher

No 2000-38, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: The aim of the present study is to construct a state feedback controller for a given linear system that minimizes the worst-case effect of an L2 -bounded disturbance. Our setting is different from the usual framework of H -theory in that we consider nonzero initial conditions. The situation is modeled in a game theoretical framework, in which the controller designer acts as a minimizing player, and the uncertainty as a maximizing player. We show that a saddle-point equilibrium exists and find an optimal controller.

JEL-codes: C70 C72 C73 (search for similar items in EconPapers)
Date: 2000
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