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Dual criterion stochastic optimal control problem for robustness improvement

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1 Author(s)
Grimble, M.J. ; University of Strathclyde, Glasgow, Scotland

The solution of the dual criterion linear quadratic stochastic optimal control problem is obtained by following a Wiener type of solution procedure. A stabilizing solution is guaranteed by parameterizing the controller using the Desoer fractional representation approach. The dual criterion includes sensitivity and complementary sensitivity weighting terms which provide a means of varying the robustness characteristics of the multivariable system.

Published in:

Automatic Control, IEEE Transactions on  (Volume:31 ,  Issue: 2 )