Design of optimal control under uncertain initial conditions: A minimax approach

The need for a game-theoretical formulation of the problem of linear-quadratic control under nonmeasurable plant state where the functional depends on the uncertain initial state was substantiated. The minimax output control law in terms of linear matrix inequalities that may be regarded as the optimal robust control law for the given set of the plant initial states was established assuming that the measurable components of the initial state were known and the nonmeasurable components take on values within the given ellipsoid. The results obtained were generalized to the plants with uncertain parameters.