Time-averaged robust control of stochastic partially observed uncertain systems

Valery A. Ugrinovskii; Ian R. Petersen

doi:10.1109/CDC.1998.760783

Time-averaged robust control of stochastic partially observed uncertain systems

Valery A. Ugrinovskii^*
, Ian R. Petersen

^*Corresponding author for this work

Research output: Contribution to journal › Conference article › peer-review

20 Citations (Scopus)

Abstract

We consider a linear-quadratic infinite-horizon time-averaged guaranteed cost control problem for stochastic uncertain systems with output measurement. A new class of uncertainty is introduced that satisfies a stochastic relative entropy constraint. The solution of a specially parametrized risk-sensitive stochastic control problem based on a pair of algebraic matrix Riccati equations is used to establish a guaranteed cost control law for the original uncertain system. It is shown that this guaranteed cost control absolutely stabilizes the system.

Original language	English
Pages (from-to)	784-789
Number of pages	6
Journal	Proceedings of the IEEE Conference on Decision and Control
Volume	1
DOIs	https://doi.org/10.1109/CDC.1998.760783
Publication status	Published - Dec 1998
Externally published	Yes
Event	Proceedings of the 1998 37th IEEE Conference on Decision and Control (CDC) - Tampa, FL, USA Duration: 16 Dec 1998 → 18 Dec 1998

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10.1109/CDC.1998.760783

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abstract = "We consider a linear-quadratic infinite-horizon time-averaged guaranteed cost control problem for stochastic uncertain systems with output measurement. A new class of uncertainty is introduced that satisfies a stochastic relative entropy constraint. The solution of a specially parametrized risk-sensitive stochastic control problem based on a pair of algebraic matrix Riccati equations is used to establish a guaranteed cost control law for the original uncertain system. It is shown that this guaranteed cost control absolutely stabilizes the system.",

author = "Ugrinovskii, \{Valery A.\} and Petersen, \{Ian R.\}",

year = "1998",

month = dec,

doi = "10.1109/CDC.1998.760783",

language = "English",

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journal = "Proceedings of the IEEE Conference on Decision and Control",

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note = "Proceedings of the 1998 37th IEEE Conference on Decision and Control (CDC) ; Conference date: 16-12-1998 Through 18-12-1998",

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AU - Ugrinovskii, Valery A.

AU - Petersen, Ian R.

PY - 1998/12

Y1 - 1998/12

N2 - We consider a linear-quadratic infinite-horizon time-averaged guaranteed cost control problem for stochastic uncertain systems with output measurement. A new class of uncertainty is introduced that satisfies a stochastic relative entropy constraint. The solution of a specially parametrized risk-sensitive stochastic control problem based on a pair of algebraic matrix Riccati equations is used to establish a guaranteed cost control law for the original uncertain system. It is shown that this guaranteed cost control absolutely stabilizes the system.

AB - We consider a linear-quadratic infinite-horizon time-averaged guaranteed cost control problem for stochastic uncertain systems with output measurement. A new class of uncertainty is introduced that satisfies a stochastic relative entropy constraint. The solution of a specially parametrized risk-sensitive stochastic control problem based on a pair of algebraic matrix Riccati equations is used to establish a guaranteed cost control law for the original uncertain system. It is shown that this guaranteed cost control absolutely stabilizes the system.

UR - https://www.scopus.com/pages/publications/0032281148

U2 - 10.1109/CDC.1998.760783

DO - 10.1109/CDC.1998.760783

M3 - Conference article

SN - 0743-1546

VL - 1

SP - 784

EP - 789

JO - Proceedings of the IEEE Conference on Decision and Control

JF - Proceedings of the IEEE Conference on Decision and Control

T2 - Proceedings of the 1998 37th IEEE Conference on Decision and Control (CDC)

Y2 - 16 December 1998 through 18 December 1998

ER -

Time-averaged robust control of stochastic partially observed uncertain systems

Abstract

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