Title :
On dissipation in stochastic systems
Author :
Thygesen, Uffe Høgsbro
Author_Institution :
Dept. of Math. Modeling, Tech. Univ. Denmark, Lyngby, Denmark
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;
Conference_Titel :
American Control Conference, 1999. Proceedings of the 1999
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4990-3
DOI :
10.1109/ACC.1999.783605
