Title :
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
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;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657107
