Optimal control based on a preposteriori estimates of set‐membership uncertainty

We consider the optimal control problem for a linear nonstationary dynamical system under set‐membership uncertainty with a combined discrete closable loop. Our solution is based on an a preposteriori analysis of the surveillance and control subsystems. Based on the surveillance subsystem analysis, we introduce closures and construct an optimal closable program (a preposteriori analysis of the control subsystem) that yields a positional solution for the optimal control problem. We present an optimal control quasi‐realization method with optimal estimators and a real‐time controller. We illustrate our results with an example.