Finite horizon minimax optimal control of nonlinear continuous time systems with stochastic uncertainty

Authors
Ugrinovskii, VA Petersen, IR
Citation
Va. Ugrinovskii et Ir. Petersen, Finite horizon minimax optimal control of nonlinear continuous time systems with stochastic uncertainty, DYN CONTROL, 10(1), 2000, pp. 63-86
Citations number
14
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
DYNAMICS AND CONTROL
ISSN journal
09254668 → ACNP
Volume
10
Issue
1
Year of publication
2000
Pages
63 - 86
Database
ISI
SICI code
0925-4668(200001)10:1<63:FHMOCO>2.0.ZU;2-B
Abstract
This paper develops a general continuous-time stochastic framework for robu stness analysis and robust control synthesis. We consider a stochastic mini max optimization problem for general stochastic uncertain systems. A genera l method is presented for converting problems of performance analysis or co ntroller synthesis into unconstrained optimization problems.