Output-feedback mixed H_∞/H₂ control— a dynamic game approach

We consider a mixed H_∞/H₂ control problem, in which a controller is required to achieve the best possible rejection of a stochastic disturbance with given statistics, subject to an H_∞-performance constraint. We assume that the H_∞-constraint rules out the use of the H₂-optimal (LQG) control law. As a result, the H₂-performance of the controller must be degraded. Moreover, no control law can be the best with respect to all the possible measurement signals. It is thus reasonable to look for a controller that will achieve the best H₂-performance, subject to the worst possible measurement signal. An optimal controller, in the sense of this paper, minimizes the worst-case ratio between the resulting H₂-performance degradation and the performance degradation that would result if one had used a standard H_∞-central controller. In this setting, the mixed H_∞/H₂ problem reduces to a standard two-person, zero-sum, linear quadratic dynamic game, with a state-feedback information pattern. Both the continuous and the discrete-time cases are considered.