Solving quadratic linear optimal control problems under interval uncertainty

The main aim of this paper is to find an optimal interval control law for quadratic linear problems under interval uncertainty. For this purpose, using Bellman's optimality principle and interval Hamilton-Jacobi-Bellman inequalities, the interval optimal control problem is transformed into a system of interval differential inequalities. These inequalities are called Riccati's differential inequalities, which is a result of the dynamic programming method. To solve this system of inequalities, we use inclusion relations and interval arithmetic. By this method, we can obtain the upper and lower bounds of the solutions. We also use Hokuhara's generalized difference to reduce errors in the interval arithmetic. We apply the presented method for solving some interval quadratic linear optimal control problems by using MATLAB software. The obtained results show the efficiency of the proposed method.