Minimax Nonlinear Control under Stochastic Uncertainty Constraints

Cheng Tang, Tamer Başar

Research output: Contribution to journalConference article

Abstract

We consider in this paper a class of stochastic nonlinear systems in strict feedback form, where in addition to the standard Wiener process there is a norm-bounded unknown disturbance driving the system. The bound on the disturbance is in the form of an upper bound on its power in terms of the power of the output. Within this structure, we seek a minimax state-feedback controller, namely one that minimizes over all state-feedback controllers the maximum of a given class of integral costs, where the choice of the specific cost function is also part of the design problem as in inverse optimality. We derive the minimax controller by first converting the original constrained optimization problem into an unconstrained one (a stochastic differential game) and then making use of the duality relationship between stochastic games and risk-sensitive stochastic control. The state-feedback control law obtained is absolutely stabilizing. Moreover, it is both locally optimal and globally inverse optimal, where the first feature implies that a linearized version of the controller solves a linear quadratic risk-sensitive control problem, and the second feature says that there exists an appropriate cost function according to which the controller is optimal.

Original languageEnglish (US)
Pages (from-to)1065-1070
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
Volume1
StatePublished - Dec 1 2003
Event42nd IEEE Conference on Decision and Control - Maui, HI, United States
Duration: Dec 9 2003Dec 12 2003

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Nonlinear Control
Minimax
Controller
Uncertainty
Controllers
State feedback
Risk-sensitive Control
State Feedback
Cost functions
Cost Function
Disturbance
Stochastic Differential Games
Nonlinear Stochastic Systems
Stochastic Games
State Feedback Control
Stochastic Control
Wiener Process
Constrained optimization
Constrained Optimization Problem
Feedback control

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

Cite this

Minimax Nonlinear Control under Stochastic Uncertainty Constraints. / Tang, Cheng; Başar, Tamer.

In: Proceedings of the IEEE Conference on Decision and Control, Vol. 1, 01.12.2003, p. 1065-1070.

Research output: Contribution to journalConference article

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