화학공학소재연구정보센터
SIAM Journal on Control and Optimization, Vol.40, No.4, 1189-1226, 2001
Minimax LQG control of stochastic partially observed uncertain systems
We consider an infinite-horizon linear-quadratic minimax optimal control problem for stochastic uncertain systems with output measurement. A new description of stochastic uncertainty is introduced using a relative entropy constraint. For the stochastic uncertain system under consideration, a connection between the worst-case control design problem and a specially parametrized risk-sensitive stochastic control problem is established. Using this connection, a minimax optimal LQG controller is constructed which is based on a pair of algebraic matrix Riccati equations arising in risk-sensitive control. It is shown that this minimax optimal controller absolutely stabilizes the stochastic uncertain system.