This paper obtains an explicit Solution to a finite horizon min-max optimal control problem where the system is linear and discrete-time with control and state constraints, and the cost quadratic; the disturbance is negatively costed, as in the standard H-infinity problem, and is constrained. The cost is minimized over control policies and maximized over disturbance sequences so that the Solution yields a feedback control. It is shown that, under certain conditions, the value function is piecewise quadratic and the optimal control policy piecewise affine, being quadratic and affine, respectively, in polyhedra that partition the domain of the value function. (C) 2005 Elsevier Ltd. All rights reserved.