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Risk-averse control of linear stochastic systems with low sensitivity: A state-feedback paradigm

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1 Author(s)
Pham, K.D. ; Space Vehicles Directorate, Air Force Res. Lab., Kirtland AFB, NM, USA

The problem of controlling stochastic linear systems with quadratic criterion which includes sensitivity variables is investigated. It is proved that the optimal full state-feedback control law with risk aversion can be realized by the cascade of mathematical statistics of performance uncertainty and a linear feedback. A set of nonlinear matrix equations are obtained, which constitutes the necessary and sufficient conditions that must be satisfied for an optimal solution.

Published in:

Control & Automation (MED), 2012 20th Mediterranean Conference on

Date of Conference:

3-6 July 2012