Guaranteed cost control for multi-inventory systems with uncertain demand

In this paper we consider the problem of controlling a multi-inventory system in the presence of uncertain demand. The demand is unknown but bounded in an assigned compact set. The control input is assumed to be also constrained in a compact set. We consider an integral cost function of the buffer levels and we face the problem of minimizing the worst-case cost. We show that the optimal cost of a suitable auxiliary problem with no uncertainties is always an upper bound for the original problem. In the special case of minimum-time control, this upper bound is tight, namely its optimal cost is equal to the worst-case cost for the original system. Furthermore, the result is constructive, since the optimal control law can be explicitly computed.

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