Optimal Compensation of Bounded External Disturbances and Measurement Noises for Linear Systems

This paper is dedicated to the problem of compensation of bounded external disturbances in the presence of bounded measurement noises. The synthesis of a linear feedback controller minimizing the size of invariant ellipsoids of a closed-loop system is considered. Based on the method of Lyapunov functions, S-procedure and the alternating optimization method, an iterative algorithm for finding optimal controller parameters is proposed. The efficiency of the obtained algorithm is demonstrated.