✦ LIBER ✦

Robust stability and performance of stochastic uncertain systems on an infinite time interval

✍ Scribed by Valery A. Ugrinovskii; Ian R. Petersen

Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 181 KB
Volume: 44
Category: Article
ISSN: 0167-6911
DOI: 10.1016/s0167-6911(01)00149-9

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✦ Synopsis

In this paper, we consider a robust stability problem for continuous time stochastic uncertain systems. The uncertainty in the system is characterized in terms of an uncertain probability distribution on the noise input. This uncertainty is assumed to satisfy a certain relative entropy constraint. The solution to a specially parametrized risk-sensitive performance analysis problem is used to estimate the level of guaranteed performance for the stochastic uncertain system under consideration. This solution is obtained by solving an algebraic Riccati equation. The corresponding performance bound holds for all admissible uncertainties and is nonconservative.

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