Performance Bounds for Constrained Linear Min-Max Control

Abstract: This paper proposes a method to compute lower performance bounds for discrete-time infinite-horizon min-max control problems with input constraints and bounded disturbances. Such bounds can be used as a performance metric for control policies synthesized via suboptimal design techniques. Our approach is motivated by recent work on performance bounds for stochastic constrained optimal control problems using relaxations of the Bellman equation. The central idea of the paper is to find an unconstrained min-max control problem, with negatively weighted disturbances as in H infinity control, that provides the tightest possible lower performance bound on the original problem of interest and whose value function is easily computed. The new method is demonstrated via a numerical example for a system with box constrained input.