On dissipation in stochastic systems

Author

Thygesen, Uffe Høgsbro

Author_Institution

Dept. of Math. Modeling, Tech. Univ. Denmark, Lyngby, Denmark

Volume

2

fYear

1999

fDate

2-4 Jun 1999

Firstpage

1430

Abstract

We define the property of dissipativity for controlled Ito diffusions. We investigate elementary properties, and we demonstrate that the framework is useful for control problems in which both probabilistic and worst-case representations of dynamic uncertainty are present. As an example we discuss a problem involving robust ℋ₂ performance in presence of two types of dynamic uncertainty: ℋ_∞ bounded perturbations, and disturbances with finite signal-to-noise ratio in the sense of Skelton (1997)

Keywords

H^∞ control; Lyapunov methods; differential equations; diffusion; robust control; stability criteria; stochastic systems; uncertain systems; ℋ_∞ bounded perturbations; controlled Ito diffusions; dissipation; dynamic uncertainty; elementary properties; finite signal-to-noise ratio; probabilistic representation; robust ℋ₂ performance; stochastic systems; worst-case representation; Linear systems; Lyapunov method; Mathematical model; Riccati equations; Robust control; Robustness; Signal to noise ratio; Stochastic processes; Stochastic systems; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

American Control Conference, 1999. Proceedings of the 1999

Conference_Location

San Diego, CA

ISSN

0743-1619

Print_ISBN

0-7803-4990-3

Type

conf

DOI

10.1109/ACC.1999.783605

Filename

783605