Minimax LQG Control of Stochastic Partially Observed Uncertain Systems

DOI10.1137/S0363012998349352zbMath1016.93072OpenAlexW2058492419MaRDI QIDQ4537782

Valery A. Ugrinovskii, Ian R. Petersen

Publication date: 23 June 2002

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012998349352

zbMATH Keywords

optimal controlrobust stabilityRiccati equationrisk-sensitive controlrelative entropy constraintminimax linear quadratic regulator

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Minimax problems in mathematical programming (90C47) Control/observation systems with incomplete information (93C41) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic systems in control theory (general) (93E03)

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