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Robust output feedback control for linear stochastic systems in continuous time with time-varying parameters

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3 Author(s)
Taksar, M.I. ; Dept. of Appl. Math., State Univ. of New York, Stony Brook, NY, USA ; Poznyak, A.S. ; Iparraguirre, A.

In the present work we consider a multidimensional linear system with additive inputs (controls) and noise governed by a Brownian motion. We allow the parameters of the system to change in time. In addition we assume that the exact form of the coefficients is not known, rather the intervals within which these coefficients fluctuate are given. In addition, we do not know the exact state of the system, rather we observe the output process correlated with this state. The set of allowable controls are feedback controls based on the observation of the output process and “an ideal model dynamics”. With each control we associate a performance functional characterizing “the quality of tracking process” and the objective is to construct a robust feedback control which minimizes the maximal performance functional within the class of systems with nonstochastic coefficients fluctuating in the same intervals as those of our problem

Published in:

Decision and Control, 1995., Proceedings of the 34th IEEE Conference on  (Volume:3 )

Date of Conference:

13-15 Dec 1995