Robust numerical methods for robust control

We present numerical methods for the solution of the optimal H∞ control problem. In particular, we investigate the iterative part often called the γ-iteration. We derive a method with better robustness in the presence of rounding errors than other existing methods. It remains robust in the presence of rounding errors even as γ approaches its optimal value. For the computation of a suboptimal controller, we avoid solving algebraic Riccati equations with their problematic matrix inverses and matrix products by adapting recently suggested methods for the computation of deflating subspaces of skew-Hamiltonian/Hamiltonian pencils. These methods are applicable even if the pencil has eigenvalues on the imaginary axis. We compare the new method with older methods and present several examples.

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