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https://hdl.handle.net/2142/80825
Description
Title
Robust Control of Stochastic Nonlinear Systems
Author(s)
Tang, Cheng
Issue Date
2003
Doctoral Committee Chair(s)
Basar, Tamer
Department of Study
Electrical Engineering
Discipline
Electrical Engineering
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Engineering, Electronics and Electrical
Language
eng
Abstract
The third topic studied involves the constrained minimax optimization problem for a class of stochastic nonlinear systems in strict-feedback form, where in addition to the standard Wiener process there is a norm-bounded unknown disturbance driving the system. The bound on the disturbance is a stochastic integral quadratic constraint, and it is also related to the constraint on the relative entropy between the uncertainty probability measure and the reference probability measure on the original probability space. Within this structure, by first converting the original constrained optimization problem into an unconstrained one (a stochastic differential game) and then making use of the duality relationship between stochastic games and risk-sensitive stochastic control, we obtain a minimax state-feedback control law that is both locally optimal and globally inverse optimal. Furthermore, the closed-loop system is absolutely stable in the presence of stochastic uncertainty disturbances.
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