Kalman Duality Principle for a Class of Ill-Posed Minimax Control Problems with Linear Differential-Algebraic Constraints

In this paper we present Kalman duality principle for a class of linear Differential-Algebraic Equations (DAE) with arbitrary index and time-varying coefficients. We apply it to an ill-posed minimax control problem with DAE constraint and derive a corresponding dual control problem. It turns out that the dual problem is ill-posed as well and so classical optimality conditions are not applicable in the general case. We construct a minimizing sequence $\hat{u}_{\varepsilon}$ for the dual problem applying Tikhonov method. Finally we represent $\hat{u}_{\varepsilon}$ in the feedback form using Riccati equation on a subspace which corresponds to the differential part of the DAE.

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