Numerical method for weights adjustment in minimax multi-model LQ-control

The minimax linear quadratic problem, where 'max' is taken over a finite set of indices (models) and 'min' is taken over the set of admissible controls, is considered. The solution is obtained by the robust optimal control application. The control turns out to be a linear combination of the controls optimal for each individual model. This paper develops a numerical method for the optimal weights adjustment. An example shows a quick convergence of the proposed procedure.