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, this paper develops controllers to minimize the control L_∞ norm bound subject to L_∞ constraints on each output, the resulting controller is an LQG controller with a special choice of the output weight matrix and input noise intensity matrix, that are both iterated. The design algorithm turns out to be feasible if the algorithm converges.