Observer-Based Feedback Controller Design for a Class of Stochastic Systems With Non-Gaussian Variables

In this note, the observer-based feedback control problem is investigated for a class of non-Gaussian stochastic systems. The proposed control strategy is the optimal control under a performance function measuring a sort of entropy of the state deviation. Sufficient conditions under which the closed-loop system is locally and ultimately bounded in the mean-square sense are presented. Simulation results demonstrate the effectiveness of the proposed design method.