An efficient scheme for minimax solutions of multiple linear–quadratic control

Optimal control is one of the most important methodologies for studies of dynamic systems in many areas of sciences, engineering and economics. Minimax optimal control is a special topic in the general framework of multiple optimal control problems. Minimax optimal control can be considered as a dynamic game with multiple players under the same system. In this paper, we develop a fast search for a minimax solution of multiple linear–quadratic control problems. The algorithm improves the existing solution scheme by adjusting the multiple weighting coefficients in each iteration and also including updates for step-size control.