Multivariable control design for stochastic systems with saturated driving: LQG optimal approach

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Abstract
A stability criterion for stochastic multivariable feedback systems with saturated actuators is derived. An algorithm is proposed to choose an appropriate linear-quadratic-gaussian (LQG) performance index scalar to satisfy the stability criterion, and then a robust LQG optimal controller is obtained to override the limit cycle or instability incurred by saturated actuators employed in control systems. Finally, a simulation is given to support the results.