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Title:Robust Control of Stochastic Nonlinear Systems
Author(s):Tang, Cheng
Doctoral Committee Chair(s):Basar, Tamer
Department / Program:Electrical Engineering
Discipline:Electrical Engineering
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Engineering, Electronics and Electrical
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.
Issue Date:2003
Description:106 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2003.
Other Identifier(s):(MiAaPQ)AAI3086197
Date Available in IDEALS:2015-09-25
Date Deposited:2003

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