Optimal Decentralized Control for Uncertain Systems by Symmetric Gauss-Seidel Semi-Proximal ALM.

The H2 guaranteed cost decentralized control problem is investigated in this work. More specifically, on the basis of an appropriate H2 re-formulation that we put in place, the optimal control problem in the presence of parameter uncertainties is solved in parameter space. It is shown that all the stabilizing decentralized controller gains for the uncertain system are parameterized in a convex set, and then the formulated problem is converted to a conic optimization problem. It facilitates the use of the symmetric Gauss-Seidel (sGS) semi-proximal augmented Lagrangian method (ALM), which attains high computational efficiency. A comprehensive analysis is given on the application of the approach in solving the optimal decentralized control problem; and subsequently, the preserved decentralized structure, robust stability, and robust performance are all suitably guaranteed with the proposed methodology. Furthermore, illustrative examples are presented to demonstrate the effectiveness of the proposed optimization approach.