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On the minimax solution of multiple linear-quadratic problems

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1 Author(s)
Duan Li ; Dept. of Syst. Eng., Virginia Univ., Charlottesville, VA, USA

Multiple linear-quadratic problems are studied. A set of coupling Riccati equations is derived for vector-valued-cost-to-go. A minimax solution of multiobjective convex problems is proven to be an equalizer strategy. This permits the development of a new algorithm for finding the minimax solution for multiple linear-quadratic problems

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Automatic Control, IEEE Transactions on  (Volume:35 ,  Issue: 10 )