Results of short-period helicopter system identification using output-error and hybrid search-gradient optimization algorithm.
Riccati equations and delay-dependent BIBO stabilization of stochastic systems with mixed delays and nonlinear perturbations.
Risk minimizing strategies for a portfolio of interest-rate securities
The paper presents an application of stochastic control methods to fixed income management in an incomplete market with external economic factors. The objective of an investor is the minimization of a shortfall risk. The problem is reduced to the multidimensional Bellman equation. It is shown that for a large class of loss functions the equation possesses a continuous solution. We also consider loss functions from the HARA class and prove that for such functions the Hamilton-Jacobi-Bellman equation...
Risk objectives in two-stage stochastic programming models
In applications of stochastic programming, optimization of the expected outcome need not be an acceptable goal. This has been the reason for recent proposals aiming at construction and optimization of more complicated nonlinear risk objectives. We will survey various approaches to risk quantification and optimization mainly in the framework of static and two-stage stochastic programs and comment on their properties. It turns out that polyhedral risk functionals introduced in Eichorn and Römisch...
Risk-sensitive average optimality in Markov decision processes
In this note attention is focused on finding policies optimizing risk-sensitive optimality criteria in Markov decision chains. To this end we assume that the total reward generated by the Markov process is evaluated by an exponential utility function with a given risk-sensitive coefficient. The ratio of the first two moments depends on the value of the risk-sensitive coefficient; if the risk-sensitive coefficient is equal to zero we speak on risk-neutral models. Observe that the first moment of...
Risk-sensitive control of stochastic hybrid systems on infinite time horizon.
Risk-sensitive Markov stopping games with an absorbing state
This work is concerned with discrete-time Markov stopping games with two players. At each decision time player II can stop the game paying a terminal reward to player I, or can let the system to continue its evolution. In this latter case player I applies an action affecting the transitions and entitling him to receive a running reward from player II. It is supposed that player I has a no-null and constant risk-sensitivity coefficient, and that player II tries to minimize the utility of player I....
Řízené Markovovy řetězce
Robust adaptive fuzzy filters output feedback control of strict-feedback nonlinear systems
In this paper, an adaptive fuzzy robust output feedback control approach is proposed for a class of single input single output (SISO) strict-feedback nonlinear systems without measurements of states. The nonlinear systems addressed in this paper are assumed to possess unstructured uncertainties, unmodeled dynamics and dynamic disturbances, where the unstructured uncertainties are not linearly parameterized, and no prior knowledge of their bounds is available. In recursive design, fuzzy logic systems...
Robust adaptive tracking for Markovian jump nonlinear systems with unknown nonlinearities.
Robust control of chaos in modified FitzHugh-Nagumo neuron model under external electrical stimulation based on internal model principle
This paper treats the question of robust control of chaos in modified FitzHugh-Nagumo neuron model under external electrical stimulation based on internal model principle. We first present the solution of the global robust output regulation problem for output feedback system with nonlinear exosystem. Then we show that the robust control problem for the modified FitzHugh-Nagumo neuron model can be formulated as the global robust output regulation problem and the solvability conditions for the output...
Robust control of discrete-time hybrid systems with uncertain modal dynamics.
Robust Control of Linear Stochastic Systems with Fully Observable State
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 the value of...
Robust estimates of certain large deviation probabilities for controlled semi-martingales
Motivated by downside risk minimization on the wealth process in an incomplete market model, we have studied in the recent work the asymptotic behavior as time horizon T → ∞ of the minimizing probability that the empirical mean of a controlled semi-martingale falls below a certain level on the time horizon T. This asymptotic behavior relates to a risk-sensitive stochastic control problem in the risk-averse case. Indeed, we obtained an expression of the decay rate of the probability by the Legendre...
Robust Filtering for Correlated Multidimensional Oberservations.
Robust filtering for state and fault estimation of linear stochastic systems with unknown disturbance.
Robust control of an uncertain system via a stable decentralized output feedback controller
This paper presents a procedure for constructing a stable decentralized output feedback controller for a class of uncertain systems in which the uncertainty is described by Integral Quadratic Constraints. The controller is constructed to solve a problem of robust control. The proposed procedure involves solving a set of algebraic Riccati equations of the control type which are dependent on a number of scaling parameters. By treating the off-diagonal elements of the controller transfer function...
Robust high-gain observer for nonlinear closed-loop stochastic systems.
Robust Kalman filter and its application in time series analysis
Robust filtering of time-delay jump systems with respect to the finite-time interval.