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This paper addresses the H∞ output feedback control problem for discrete-time systems with actuator saturation.Initially, a constrained H∞ output feedback control approach is presented in the framework of linear matrix inequalities (LMI)optimization. Under certain assumptions on the disturbance energy bound, closed-loop H∞ performance is achieved. Furthermore,the moving horizon strategy is applied to an online management of the control performance so that the closed-loop system can satisfy control constraints in the case of unexpected large disturbances. A dissipation constraint is derived to achieve the moving horizon closed-loop system dissipative. Simulation results show that the constrained H∞controller works effectively under the disturbance assumption and that the moving horizon H∞controller can trade-off automatically between satisfying control constraints and enhancing performance.