Numerical Solution of Output Feedback H-Constrained LQG Control Problem

In this paper, the output feedback H_infin-constrained LQG control problem is investigated. The asymptotic structure along with the uniqueness and positive semidefiniteness of the solutions of the cross-coupled algebraic Riccati equations (CAREs) is newly established. The main purpose of this paper is to propose a new algorithm that is based on the Newton´s method and the reduced-order algorithm for solving the CAREs. Particularly, it is noteworthy that the quadratic convergence under the appropriate initial condition and the reduction of the dimension for the matrix computation are both attained. As another important feature, when the disturbance attenuation level gamma is small, the successive algorithm for solving CAREs is given for the first time. A numerical example is given to demonstrate the efficiency of the proposed algorithm.