Reducing the computation required to solve a standard minimax problem (Q1911281)
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English | Reducing the computation required to solve a standard minimax problem |
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Reducing the computation required to solve a standard minimax problem (English)
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5 June 1996
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The author considers a minimax optimization problem involving time-dependent matrices. The inner level maximization problem is seen to have its extrema among a very large number of vertices of an uncertainty set. It is shown that this number can be significantly reduced. The outer-level minimization is convex and the problem is solved by using a sequential quadratic programming method. Then the author shows how his results can be used in considering the problem of synthesizing a robust state feedback control for a system with parameter uncertainty. Finally, an illustrative example is considered: a stabilizing state feedback compensator is found for a system depending on 15 uncertain parameters.
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minimax optimization
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time-dependent
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robust state feedback
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parameter uncertainty
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