A two-Riccati, feasible algorithm for guaranteeing output L∞ constraints

In the presence of all disturbances whose outer products are bounded by a known matrix N, the authors develop controllers to minimize the control L_∞ norm bound subject to L_∞ constraints on each output. The resulting controller is an LQG (linear quadratic Gaussian) controller with a special choice of the output weight matrix and input noise intensity matrix, which are iterated. The design algorithm turns out to be feasible if the algorithm converges