MINIMUM-VARIANCE CONTROL OF LINEAR TIME-VARYING SYSTEMS

We study the problem of minimum-variance control of linear time-varyin g discrete-time systems. We consider the standard time-varying control led autoregressive moving-average model and develop a time-varying con troller that guarantees both closed-loop stability and minimum-varianc e output control for a large class of linear time-varying systems. The controller is based on our previous results on minimum-variance predi ction for linear time varying systems. We also show that the standard minimum-variance controller cannot in general guarantee closed-loop st ability when applied to linear time-varying systems. However, a simple modification can make the closed loop stable. (C) 1997 Elsevier Scien ce Ltd.