Optimal Linear Static Control with Moment and Yield Objectives

A. Hansson, S. Boyd, L. Vandenberghe, and M. Lobo

Unpublished manuscript, 1997

This report describes how to optimize linear static control problems involving first and second moments and yield objectives for Gaussian distributions. These problems can be cast as second-order cone programs, which is a class of convex optimization problems that can be solved very efficiently.