Absolute Stabilization and Minimax Optimal Control of Uncertain Systems with Stochastic Uncertainty
The authors consider an uncertain system described by the following stochastic differential Itô equation \[ \begin{aligned} dx & = (Ax+ B_1u+ B_2\xi(t)) dt+ (Hx+ P_1u) dw_1(t)+ P_2\xi(t) dw_2(t),\tag{1}\\ z & = Cx+Du,\end{aligned} \] where \(x\), \(u\) and \(z\) are \(n\), \(m_1\) and \(p\)-dimensional vectors, and state, control and output vectors, respectively; \(\xi(t)\in \mathbb{R}^{m_2}\) is a vector assembling all uncertainty inputs defined by \(\xi(t)= \xi_\phi(t):= \phi(t,x(\cdot)|^t_0,u(\cdot)|^t_0)\); \(A\), \(B_1\), \(B_2\), \(C\), \(D\) are constant matrices and \(H\), \(P_1\), \(P_2\) are linear bounded operators of appropriate dimensions; \(w_1\), \(w_2\) are standard mutually independent Wiener processes. The uncertainty \(\xi\) is assumed to satisfy certain stochastic integral constraints. The authors show that a minimax optimal guaranteed cost state feedback controller for the stochastic system (1), can be a synthesis as a state feedback controller absolutely stabilizing this system. For each initial state of the system this controller, yielding an optimal worst-case performance in the fact of stochastic structured uncertainty, is found by parametric optimization of solutions of a parameter-dependent generalized matrix Riccati equation arising in stochastic \(H_\infty\).
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