Minimax optimal control of stochastic uncertain systems with relative entropy constraints

Author

Petersen, Ian R. ; James, M.R. ; Dupuis, Paul

Author_Institution

Dept. of Electr. Eng., Australian Defence Force Acad., Campbell, Australia

Volume

3

fYear

1997

fDate

10-12 Dec 1997

Firstpage

2248

Abstract

Considers a class of discrete time stochastic uncertain systems in which the uncertainty is described by a constraint on the relative entropy between a nominal noise distribution and the perturbed noise distribution. The paper solves problems of worst case robust performance analysis and output feedback minimax optimal controller synthesis in a general nonlinear setting. Specializing these results to the linear case leads to a minimax LQG optimal controller

Keywords

control system synthesis; discrete time systems; entropy; feedback; linear quadratic Gaussian control; robust control; stochastic systems; uncertain systems; discrete time stochastic uncertain systems; minimax LQG optimal controller; nominal noise distribution; output feedback minimax optimal controller synthesis; perturbed noise distribution; relative entropy constraints; worst case robust performance analysis; Entropy; Minimax techniques; Noise robustness; Optimal control; Performance analysis; Robust control; Stochastic resonance; Stochastic systems; Uncertain systems; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1997., Proceedings of the 36th IEEE Conference on

Conference_Location

San Diego, CA

ISSN

0191-2216

Print_ISBN

0-7803-4187-2

Type

conf

DOI

10.1109/CDC.1997.657107

Filename

657107