Question: Consider the scalar linear system Xt+1 = WtXt + Ut where w+ E{-1,1} is an unknown (worst-case) disturbance. (a) Find the optimal policy and cost-to-go

Consider the scalar linear system Xt+1 = WtXt +

Consider the scalar linear system Xt+1 = WtXt + Ut where w+ E{-1,1} is an unknown (worst-case) disturbance. (a) Find the optimal policy and cost-to-go for the (non-quadratic) objective: T-1 min max WO, WI ,..., WT-1 |XT| + 12+1+|ut| t=0 (b) Find the optimal policy and cost-to-go for the (quadratic) optimization: T-1 min max wo,W1,...,WT-1 x1 + a + uz t=0

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