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Performance bounds for infinite discounted horizon controllers


B. P. Van Parys

9th International Conference on Computational Management Science, Imperial College London

In this talk, we propose a method to bound the performance of causal controllers on uncertain linear systems with mixed state and input constraints. The performance is measured by the expected value of an infinite linear quadratic discounted horizon cost function. Our method computes a causal affine controller, which satisfies the constraints robustly over an infinite horizon, while simultaneously providing a lower bound on the achievable performance of this or any other causal control policy constructed by any other method. The controller and performance guarantee can be found by solving two convex conic optimisation problems which are intimately related. In a last part of the talk, we illustrate our method on 2 numerical examples to illustrate that the obtained bounds are usually tight.


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M. Morari

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