Constrained H∞ optimal control over an infinite horizon

It has been recently shown by the authors (1992, 1994) that time domain constraints can be incorporated explicitly into H_∞ optimal control problems over a finite horizon. In this paper, we construct a sequence of such finite horizon constrained H_∞ optimization problems and show that their solutions converge to the solution of the infinite horizon H_∞ optimization. We prove that convergence is uniform in the H_∞ norm and that the optimal solution to the infinite horizon problem is unique.