IEEE Transactions on Automatic Control, Vol.48, No.3, 509-513, 2003
Output feedback control design for strict-feedback stochastic nonlinear systems under a risk-sensitive cost
In this note, we study the problem of output-feedback control design for a class of strict feedback stochastic nonlinear systems. Under an infinite-horizon risk-sensitive cost criterions the controller designed can guarantee an arbitrary small long-term average cost for arbitrary risk-sensitivity parameter and achieve boundedness in probability for the closed-loop system, using the integrator backstepping methodology. Furthermore, the controller preserves the equilibrium at the origin of the nonlinear system.
Keywords:bounded in probability;integrator backstepping;risk-sensitive control;strict-feedback stochastic nonlinear systems