Robust L∞-induced filtering and control of stochastic systems with state-multiplicative noise

Nadav Berman; Uri Shaked

doi:10.1109/TAC.2010.2040426

Robust L_∞-induced filtering and control of stochastic systems with state-multiplicative noise

Nadav Berman, Uri Shaked

Department of Mechanical Engineering

Research output: Contribution to journal › Article › peer-review

22 Scopus citations

Abstract

Linear, continuous-time systems with stochastic uncertainties in their state-space model are considered. The problems of induced L_∞ state-feedback control and filtering are solved, for the stationary case. In both problems, the cost function is defined to be the expected value of the standard induced L_∞ performance index with respect to the uncertain parameters. An example that demonstrates the applicability of the theory is given.

Original language	English
Article number	5409517
Pages (from-to)	732-737
Number of pages	6
Journal	IEEE Transactions on Automatic Control
Volume	55
Issue number	3
DOIs	https://doi.org/10.1109/TAC.2010.2040426
State	Published - 1 Mar 2010

Keywords

L performance
Multiplicative noise
Peak-to-peak control
Stochastic systems

ASJC Scopus subject areas

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

Access to Document

10.1109/TAC.2010.2040426

Cite this

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title = "Robust L∞-induced filtering and control of stochastic systems with state-multiplicative noise",

abstract = "Linear, continuous-time systems with stochastic uncertainties in their state-space model are considered. The problems of induced L∞ state-feedback control and filtering are solved, for the stationary case. In both problems, the cost function is defined to be the expected value of the standard induced L∞ performance index with respect to the uncertain parameters. An example that demonstrates the applicability of the theory is given.",

keywords = "L performance, Multiplicative noise, Peak-to-peak control, Stochastic systems",

author = "Nadav Berman and Uri Shaked",

note = "Funding Information: Manuscript received October 24, 2008; revised March 05, 2009, August 07, 2009, August 09, 2009, and August 10, 2009. First published February 08, 2010; current version published March 10, 2010. This work was supported by the C&M Maus Chair at Tel Aviv University. Recommended by Associate Editor D. Arzelier. N. Berman is with the Department of Mechanical Engineering, Ben Gurion University of the Negev, Beer Sheva 84105, Israel (e-mail: [email protected]). U. Shaked is with the School of Electrical Engineering, Tel-Aviv University, Tel-Aviv 69978, Israel (e-mail: [email protected]). Color versions of one or more of the figures in this technical note are available online at http://ieeexplore.ieee.org. Digital Object Identifier 10.1109/TAC.2010.2040426",

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