A Convergent Feasible Algorithm for the Output Covariance Constraint Problem

We consider the optimal control problem of minimizing control effort subject to multiple output covariance inequality constraints Yi ¿ ¿i, where ¿i, is the given bound on Yi, related to the performance requirement on the i-th output group. The contribution of this paper is an iterative controller design algorithm for finding a controller that satisfies the first order necessary conditions for optimality corresponding to this control problem. We establish the convergence of the algorithm for both continuous and discrete time problems.