Finite horizon H/sup infinity / control problems with terminal penalties

The authors generalize the standard H/sup infinity / control problem to the finite horizon case with two (possibly singular) terminal penalties at the initial and final times. The major objective of the generalization is to increase flexibility of H/sup infinity / controls; the terminal penalties correspond to treating an intrinsic issue of finite horizon cases within the framework of H/sup infinity / control problems. The authors give a complete solution, a necessary and sufficient condition, and a parametrization to the finite horizon H/sup infinity / control problem. The solution is a natural extension of the Riccati equation solution; in the special case when all the terminal penalties vanish, the solution is reduced to the existing one to the finite horizon standard H/sup infinity / control problem. The present approach to the problem is based on completing the square argument of a particular quadratic form.<
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