Robust control of stochastic uncertain systems
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The results presented in this chapter extend the notions of minimax optimal control and absolute stabilization to the realm of stochastic uncertain systems. Some motivation for this extension was given in the Chapter 1 and in Section 2.4. In particular, in Subsections 2.4.1 and 2.4.2, some examples where given of uncertain systems which led naturally to descriptions in terms of stochastic processes. Also, Section 2.4 introduced definitions of stochastic uncertain system which provided a stochastic uncertain system framework for stochastic systems with multiplicative noise and additive noise. In this chapter, we address minimax optimal control problems for the stochastic uncertain systems introduced in Section 2.4.
KeywordsOptimal Control Problem Robust Control Riccati Equation Algebraic Riccati Equation Uncertainty Input
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