On the Minimax Solution of Multiple Linear-Quadratic Problems

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Original languageEnglish
Pages (from-to)1153-1156
Journal / PublicationIEEE Transactions on Automatic Control
Volume35
Issue number10
Publication statusPublished - Oct 1990
Externally publishedYes

Abstract

Multiple linear-quadratic problems are studied in this note. A set of coupling Riccati equations is derived for vector-valued cost-to-go. A minimax solution of multiobjective convex problems is proven to be an equalizer strategy. This enables the development of a new algorithm for finding the minimax solution of multiple linear-quadratic problems.