Robust LQG state-feedback control with H_INF performance bound for uncertain discrete-time systems

Studies the problem of robust LQG state-feedback control with H_∞ performance bound for uncertain linear discrete-time systems that are subjected to norm-bounded parameter uncertainty. Both the cases of finite horizon time-varying and infinite horizon time-invariant are considered. The controller derived can satisfy a given H_INF performance bound and provide an optimized bound for the worst-case H₂ performance index for all admissible parameter uncertainties, and also make the closed-loop systems asymptotically stable for the case of infinite horizon time-invariant. The obtained result only needs to solve a single parameter dependent Riccati equation.