Risk-sensitive control of stochastic hybrid systems on infinite time horizon.
Runolfsson, Thordur (2000)
Mathematical Problems in Engineering
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Runolfsson, Thordur (2000)
Mathematical Problems in Engineering
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Ian Petersen (2006)
International Journal of Applied Mathematics and Computer Science
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This paper presents an overview of some recent results concerning the emerging theory of minimax LQG control for uncertain systems with a relative entropy constraint uncertainty description. This is an important new robust control system design methodology providing minimax optimal performance in terms of a quadratic cost functional. The paper first considers some standard uncertainty descriptions to motivate the relative entropy constraint uncertainty description. The minimax LQG problem...
Pierre Bernhard (2010)
ESAIM: Control, Optimisation and Calculus of Variations
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We show how the use of a parallel between the ordinary (+, X) and the (max, +) algebras, Maslov measures that exploit this parallel, and more specifically their specialization to probabilities and the corresponding cost measures of Quadrat, offer a completely parallel treatment of stochastic and minimax control of disturbed nonlinear discrete time systems with partial information. This paper is based upon, and improves, the discrete time part of the earlier paper [9]. ...
Piotr Kulczycki, Rafael Wisniewski, Piotr Kowalski, Karol Krawiec (2004)
Control and Cybernetics
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Pham, Huyên (2005)
Probability Surveys [electronic only]
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Alexander Poznyak, M. Taksar (1996)
Applicationes Mathematicae
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We consider a multidimensional linear system with additive inputs (control) and Brownian noise. There is a cost associated with each control. The aim is to minimize the cost. However, we work with the model in which the parameters of the system may change in time and in addition the exact form of these parameters is not known, only intervals within which they vary are given. In the situation where minimization of a functional over the class of admissible controls makes no sense since...
Beneš, Václav E. (1998)
Journal of Applied Mathematics and Stochastic Analysis
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Saebi, Nasrollah (2004)
Bulletin of the Malaysian Mathematical Sciences Society. Second Series
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Borkar, Vivek S. (2005)
Probability Surveys [electronic only]
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