Discrete minimax linear quadratic regulation of continuous-time systems (Q1096580)

A controlled continuous-time stochastic differential system with partial observations is considered. As a result of the application of a digital controller, the control signal is with periodic statistical properties, which leads to the same behavior of the state system and the output, named cyclostationary processes. A quadratic cost function is introduced which depends on the periodic nature of the statistics. A minimax variance regulator is proposed as a new method for regulating the output variance. In comparison with the minimum variance regulator it gives a certain improvement, due to the cyclostationary nature of the control signal. Illustrative examples are also provided.