On the worst-case disturbance of minimax optimal control

Authors:
Myung-Gon Yoon;Valery A. Ugrinovskii;Ian R. Petersen
Affiliations:
Department of Precision Mechanical Engineering, Kangnung National University, Kangnung, 120-702, Republic of Korea;School of Information Technology and Electrical Engineering, The University of New South Wales at the Australian Defence Force Academy, ADFA, Canberra ACT 2600, Australia;School of Information Technology and Electrical Engineering, The University of New South Wales at the Australian Defence Force Academy, ADFA, Canberra ACT 2600, Australia
Venue:
Automatica (Journal of IFAC)
Year:
2005

Citing 2
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Systems & Control Letters
A connection between H∞ control and the absolute stabilizability of discrete-time uncertain linear systems

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Min-max optimal control of linear systems with uncertainty and terminal state constraints

Automatica (Journal of IFAC)

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Abstract

We consider a minimax optimal control problem for uncertain stochastic systems. The uncertainty in the underlying stochastic system is formulated in terms of probability measure perturbations satisfying a relative entropy constraint. By characterizing the worst-case measure for a related stochastic minimax game, it is shown that the worst-case uncertain system can be represented in the form of a parametric perturbation of the nominal system. A numerical example is presented to illustrate theoretical results developed in this paper.