Generalised minimum variance control of linear time-varying systems

Abstract

The problem of generalised minimum variance control of linear time-varying discrete-time systems is studied. Standard time-varying controlled autoregressive moving average models are considered, and the sum of plant output tracking error variance plus a penalty term on plant input is chosen as the cost functional. The time-varying controller described is able to minimise the generalised tracking error variance and guarantees closed-loop exponential stability for a large class of linear time-varying systems, including plants which have long time delays and are not stably invertible.