Algorithm for solving a linear optimal control problem with minimax performance index

The optimal control problem for a linear system with direct constraints imposed on the control and terminal constraints imposed on the trajectory is investigated. The quality of the control is evaluated by a terminal minimax criterion. A two-stage algorithm for solving the problem is described, and a numerical example is given. The applicability of the algorithm's second stage to the correction of the solution under variations in the parameters of the original problem is discussed.