A differential linear matrix inequality (DLMI) approach is introduced for t
he solution of various linear continuous-time control problems. The propose
d method permits the application of linear matrix inequalities (LMIs) to th
e solution of control design problems under uncertainty. These problems are
solved for finite horizon linear systems while considerably reducing the o
verdesign inherent in previous methods. The new approach also allows for th
e solution of the output-feedback control problem for systems belonging to
a finite set of uncertain plants with hardly any overdesign. Four examples
are given to demonstrate the applicability of the new method.