A Linear Matrix Inequality Solution to the Output Covariance Constraint Control Problem

In this paper, the output covariance constraint (OCC) control problem is cast as a convex optimization with linear matrix inequality (LMI) constraints. The OCC control problem is an optimal control problem that is concerned with minimizing control effort subject to multiple performance constraints on output covariance matrices. The contribution of this paper is the characterization of the control synthesis LMIs used to solve the OCC control problem. To demonstrate the effectiveness of the proposed approach a numerical example is solved with the control synthesis LMIs. The LMI solutions are then compared to results obtained when using the original iterative OCC algorithm. Both discrete and continuous-time problems are considered.