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

Author

Taksar, M.I. ; Poznyak, A.S. ; Iparraguirre, A.

Author_Institution

Dept. of Appl. Math., State Univ. of New York, Stony Brook, NY, USA

Volume

3

fYear

1995

fDate

13-15 Dec 1995

Firstpage

2179

Abstract

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

Keywords

Riccati equations; differential equations; feedback; linear systems; matrix algebra; multidimensional systems; multivariable systems; robust control; stochastic processes; stochastic systems; Brownian motion; continuous time parameters; linear stochastic systems; martingales; matrix Riccati equation; multidimensional linear system; multivariable systems; nonstochastic coefficients; output process observation; robust output feedback control; stochastic differential equations; time-varying parameters; tracking process; Additive noise; Control systems; Feedback control; Linear feedback control systems; Linear systems; Multidimensional systems; Noise robustness; Output feedback; Robust control; Stochastic systems;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1995., Proceedings of the 34th IEEE Conference on

Conference_Location

New Orleans, LA

ISSN

0191-2216

Print_ISBN

0-7803-2685-7

Type

conf

DOI

10.1109/CDC.1995.480525

Filename

480525