Brief Minimax control for discrete-time time-varying stochastic systems

Authors:
Xianping Guo;Wen Yu;Xiaoou Li
Affiliations:
Department of Statistical Science, Zhongshan University, Guangzhou, China and Departamento de Matematicas, CINVESTAV-IPN, Mexico D.F. 07360, Mexico;Departamento de Control Automatico,CINVESTAV-IPN, Mexico D.F. 07360, Mexico;Seccion de Computacion, Departamento de Ingenieria Electrica, CINVESTAV-IPN, Mexico D.F. 07360, Mexico
Venue:
Automatica (Journal of IFAC)
Year:
2002

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Abstract

This paper gives a self-contained presentation of minimax control for discrete-time time-varying stochastic systems under finite- and infinite-horizon expected total cost performance criteria. Suitable conditions for the existence of minimax strategies are proposed. Also, we prove that the values of the finite-horizon problem converge to the values of the infinite-horizon problems. Moreover, for finite-horizon problems an algorithm of calculation of minimax strategies is developed and tested by using time-varying stochastic systems.