Optimal Compensation of Bounded External Disturbances and Measurement Noises for Linear Systems*

Abstract

This paper is dedicated to the problem of compensation of bounded external disturbances in the presence of bounded measurement noises. The synthesis of a linear feedback controller minimizing the size of invariant ellipsoids of a closed-loop system is considered. Based on the method of Lyapunov functions, S-procedure and the alternating optimization method, an iterative algorithm for finding optimal controller parameters is proposed. The efficiency of the obtained algorithm is demonstrated.