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Automation and Remote Control
Brief paper: Risk-sensitivity conditions for stochastic uncertain model validation
Automatica (Journal of IFAC)
Robust output feedback stabilization via risk-sensitive control
Automatica (Journal of IFAC)
Robust controllability of linear stochastic uncertain systems
Automatica (Journal of IFAC)
| Hi-index | 0.01 |
We consider an infinite-horizon linear-quadratic minimax optimal control problem for stochastic uncertain systems with output measurement. A new description of stochastic uncertainty is introduced using a relative entropy constraint. For the stochastic uncertain system under consideration, a connection between the worst-case control design problem and a specially parametrized risk-sensitive stochastic control problem is established. Using this connection, a minimax optimal LQG controller is constructed which is based on a pair of algebraic matrix Riccati equations arising in risk-sensitive control. It is shown that this minimax optimal controller absolutely stabilizes the stochastic uncertain system.