State Distributions and Minimum Relative Entropy Noise Sequences in Uncertain Stochastic Systems: The Discrete-Time Case

DOI10.1137/090765614zbMath1339.93103arXiv1208.3811OpenAlexW2962903690MaRDI QIDQ2810983

Ian R. Petersen, Igor G. Vladimirov

Publication date: 7 June 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.3811

zbMATH Keywords

dissipation inequalityconditional relative entropyuncertain stochastic systemsrobust performance analysisMarkov noise strategiesminimum required supplyrobust control/filtering designsystem robustness index

Mathematics Subject Classification ID

Gaussian processes (60G15) Sensitivity (robustness) (93B35) Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Controllability (93B05) Design techniques (robust design, computer-aided design, etc.) (93B51) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Stochastic stability in control theory (93E15) Markov and semi-Markov decision processes (90C40) Stochastic systems in control theory (general) (93E03) Measures of information, entropy (94A17)

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