DocumentCode
3110577
Title
Relative Entropy Applied to Optimal Control of Stochastic Uncertain Systems on Hilbert Space
Author
Ahmed, Nasir U. ; Charalambous, Charalambos D.
Author_Institution
School of Information Technology and Engineering, and Department of Mathematics, University of Ottawa, 800 King Edward Ave., Ottawa, Ontario K1N 6N5, Canada, ahmed@site.uottawa.ca
fYear
2005
fDate
12-15 Dec. 2005
Firstpage
1776
Lastpage
1781
Abstract
This paper considers minimax problems, in which the control minimizes the pay-off induced by a measure which maximizes the pay-off over the class of measures described by a relative entropy set between the uncertain and the true measure. We present several basic properties of the relative entropy on infinite dimensional spaces, and then we apply them to an uncertain system described by a Stochastic Differential inclusion on Hilbert space.
Keywords
Energy measurement; Entropy; Equations; Extraterrestrial measurements; Hilbert space; Minimax techniques; Optimal control; Stochastic systems; Topology; Uncertain systems;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
Print_ISBN
0-7803-9567-0
Type
conf
DOI
10.1109/CDC.2005.1582417
Filename
1582417
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