Optimal LQG performance of linear uncertain systems using state-feedback

In this paper the state-feedback control problem for linear uncertain systems is considered. The performance objective is the expectation of a quadratic integral cost function, and the "worst-case" state-feedback controllers is designed to accommodate uncertain parameter. We give computable bounds for such performance. For an LTI system, our bounds are the square of /spl Hscr//sub 2/ norm of the system actually.