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Preprint 06-2004

Robust numerical methods for robust control

Source file is available as :   Postscript Document

Author(s) : Peter Benner , Ralph Byers , Volker Mehrmann , Hongguo Xu

Preprint series of the Institute of Mathematics, Technische Universität Berlin
Preprint 06-2004

MSC 2000

93B40 Computational methods
93B36 $^\infty$-control

Abstract :
We present numerical methods for the solution of the optimal $H_{\infty}$ control problem. In particular, we investigate the iterative part often called the $\gamma$-iteration. We derive a method with better robustness in the presence of rounding errors than other existing methods. It remains robust in the presence of rounding errors even as $\gamma$ approaches its optimal value. For the computation of a suboptimal controller, we avoid solving algebraic Riccati equations with their problematic matrix inverses and matrix products by adapting recently suggested methods for the computation of deflating subspaces of skew-Hamiltonian/Hamiltonian pencils. These methods are applicable even if the pencil has eigenvalues on the imaginary axis. We compare the new method with older methods and present several examples.

Keywords : $H_\infty$ control, algebraic Riccati equation, $CS$ decomposition,Lagrangian subspaces, skew-Hamiltonian/Hamiltonian pencil

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