Numerical computation of cross-coupled algebraic Riccati equations related to H∞-constrained LQG control problem

In this paper, the numerical algorithm for solving the state and output feedback H∞-constrained LQG control problem is investigated. Although the equations that have to be solved to design the controller consist of the nonlinear cross-coupled algebraic Riccati equations (CAREs), it is newly proven that both the uniqueness and the positive semidefiniteness of the iterative solutions can be guaranteed when disturbance attenuation level γ is sufficiently large. The computational examples are given to demonstrate the efficiency of the proposed algorithm.