Constrained optimal controller for linear systems with state and control dependent disturbance

The problem is posed with the additional constraints that the dynamic controller uses only noise-corrupted outputs, and that its dimension is significantly lower than that of a Kalman filter. The unknown disturbance is viewed as an adversary which tries to maximize a performance criterion: a criterion that the controller gains attempt to minimize. The optimal controller gains are determined by solving a nonlinear matrix two-point boundary value problem.