IEEE Transactions on Automatic Control, Vol.53, No.6, 1520-1526, 2008
Robust control of nonlinear jump parameter systems governed by uncertain chains
We consider an infinite-horizon minimax optimal control problem for stochastic uncertain systems governed by a discrete-state uncertain continuous-time chain. Using existing risk-sensitive control results, a robust suboptimal absolutely stabilizing guaranteed cost controller is constructed. Conditions are presented under which this suboptimal controller is minimax optimal. We then present a numeric algorithm for calculating a robust (sub)optimal controller using a Markov chain approximation technique.
Keywords:Markov chain approximations;Markov jump parameter systems;robust control;stochastic control