Mathematical methods in robust control of linear stochastic systems
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filteringoptimal controlrobust controlstochastic differential equationsRiccati equationstochastic stabilization
Sensitivity (robustness) (93B35) Ordinary differential equations and systems with randomness (34F05) White noise theory (60H40) Linear systems in control theory (93C05) Stabilization of systems by feedback (93D15) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)
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Cited in
(46)- Mixed 𝓗2/𝓗∞ filtering for Markov jump linear systems
- Spectral method of nonlinear stochastic control system analysis. 2nd edition
- Global stability of feedback systems with multiplicative noise on the nonnegative orthant
- On the invertibility of solutions of first order linear homogeneous differential equations in Banach algebras
- The stochastic linear quadratic control problem with singular estimates
- Infinite horizon LQ Nash games for SDEs with infinite jumps
- scientific article; zbMATH DE number 7727663 (Why is no real title available?)
- The iterative solution to LQ zero-sum stochastic differential games
- Linear-quadratic optimal control under non-Markovian switching
- Corrigendum to: ``Stability analysis and stabilization of linear symmetric matrix-valued continuous, discrete, and impulsive dynamical systems -- a unified approach for the stability analysis and the stabilization of linear systems
- The mean-field linear quadratic optimal control problem for stochastic systems controlled by impulses
- Stochastic linear quadratic differential games in a state feedback setting with sampled measurements
- Robust incentive Stackelberg strategy for Markov jump linear stochastic systems via static output feedback
- Finite horizon \(H_2 / H_\infty\) control for SDEs with infinite Markovian jumps
- Dynamic output feedback control for continuous-time Markov jump linear systems with hidden Markov models
- Non-fragile robust exponential stabilisation and \(H_\infty\) control for uncertain stochastic systems with non-linearity and mixed delays
- Optimal filtering for a class of linear Itô stochastic systems: the dichotomic case
- Optimal control of discrete-time linear fractional-order systems with multiplicative noise
- Stability and bounded real lemmas of discrete-time MJLSs with the Markov chain on a Borel space
- Stochastic and adaptive optimal control of uncertain interconnected systems: a data-driven approach
- Mean-field formulation for the infinite-horizon mean-variance control of discrete-time linear systems with multiplicative noises
- Stochastic Algebraic Riccati Equations Are Almost as Easy as Deterministic Ones Theoretically
- Optimal H₂ filtering for periodic linear stochastic systems with multiplicative white noise perturbations and sampled measurements
- An addendum to the problem of zero-sum LQ stochastic mean-field dynamic games
- Mathematical methods in robust control of linear stochastic systems.
- \(H_{\infty}\) Type Control for Multi-Agent Systems Subject to Stochastic State Dependent Noise
- A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises
- Average reachability of continuous-time Markov jump linear systems and the linear minimum mean square estimator
- Near-optimal control for a singularly perturbed linear stochastic singular system with Markovian jumping parameters
- Fast Switching Detector-Based $H_2$ Control of Markov Jump Linear Systems with Multiplicative Noises
- On the linear quadratic optimal control for systems described by singularly perturbed Itô differential equations with two fast time scales
- Exact detectability: application to generalized Lyapunov and Riccati equations
- Optimal control for a singularly perturbed linear stochastic system with multiplicative white noise perturbations and Markovian jumping
- Stabilizing solution for a discrete-time modified algebraic Riccati equation in infinite dimensions
- Reduced-order energy-to-peak filtering for hidden Markov jump linear systems
- Homogenized first-moment analysis of two-time-scale positive Markov jump linear systems
- Suboptimal \(\mathcal{H}_2\) and \(\mathcal{H}_\infty\) static output feedback control of hidden Markov jump linear systems
- Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems
- Robust \(H_2\) filtering of phase-type semi-Markov jump linear systems with cluster observations
- On the stochastic linear quadratic control problem with piecewise constant admissible controls
- \(\mathcal{H}_-\) index for continuous-time stochastic systems with Markov jump and multiplicative noise
- A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces
- Computing the stabilizing solution of a large class of stochastic game theoretic Riccati differential equations: a deterministic approximation
- Stability analysis for stochastic differential equations with infinite Markovian switchings
- On the stochastic linear quadratic optimal control problem by piecewise constant controls: the infinite horizon time case
- \(H_\infty\) control for nonlinear infinite Markov jump systems
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