Automatica, Vol.41, No.5, 807-813, 2005
Robust controllability of linear stochastic uncertain systems
The paper extends the concept of robust controllability via linear state feedback to stochastic uncertain systems. We show that the controllability of a stochastic uncertain system can be characterized using solutions to a game-type differential Riccati equation. (c) 2004 Elsevier Ltd. All rights reserved.
Keywords:stochastic systems;uncertain systems;controllability;relative entropy;risk-sensitive control