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Robust tracking problem for continuous time stochastic uncertain systems
Author(s) -
Yoon MyungGon,
Ugrinovskii Valery A.
Publication year - 2008
Publication title -
asian journal of control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.769
H-Index - 53
eISSN - 1934-6093
pISSN - 1561-8625
DOI - 10.1002/asjc.28
Subject(s) - minimax , control theory (sociology) , tracking (education) , controller (irrigation) , computer science , set (abstract data type) , mathematical optimization , stochastic control , gaussian , optimal control , robust control , horizon , control (management) , mathematics , control system , engineering , artificial intelligence , psychology , pedagogy , physics , geometry , electrical engineering , quantum mechanics , agronomy , biology , programming language
We propose a finite‐horizon robust minimax tracking controller design method for time‐varying continuous time stochastic uncertain systems. The uncertainty in the system is characterized by a set of probability measures under which stochastic noises, driving the system, are defined. A minimax optimal tracking controller is derived from the solution of a risk‐sensitive linear quadratic Gaussian control problem. Also a numerical example is presented to illustrate the characteristics of proposed tracking controller. Copyright © 2008 John Wiley and Sons Asia Pte Ltd and Chinese Automatic Control Society