Dissipative stochastic differential systems with risk-sensitive storage function and control design problems

DOI10.1134/S1064230709050050zbMath1294.93072OpenAlexW1973585196MaRDI QIDQ404199

P. V. Pakshin, A. Yu. Mazurov

Publication date: 4 September 2014

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064230709050050

zbMATH Keywords

deterministic \(\mathcal{H}_{\infty}\)-controldifferential (stochastic and deterministic) gamesdifferential Itô-type equationdissipative stochastic differential systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) (H^infty)-control (93B36) Stochastic stability in control theory (93E15) Stochastic systems in control theory (general) (93E03)

Related Items (1)

Discounted cost linear quadratic Gaussian control for descriptor systems

Uses Software

• SeDuMi
• YALMIP

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Exponentially dissipative nonlinear dynamical systems: A nonlinear extension of strict positive realness
• Liapunov criteria for weak stochastic stability
• Dissipative dynamical systems. I: General theory
• State Feedback $H_\infty$ Control for a Class of Nonlinear Stochastic Systems
• H_∞control for non-linear stochastic systems: the output-feedback case
• Connections between finite-gain and asymptotic stability
• Passivity, feedback equivalence, and the global stabilization of minimum phase nonlinear systems
• A risk-sensitive maximum principle: the case of imperfect state observation
• An adaptive terminal guidance scheme based on an exponential cost criterion with application to homing missile guidance
• The stability of nonlinear dissipative systems
• The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• A Passive System Approach to Feedback Stabilization of Nonlinear Control Stochastic Systems
• Risk-Sensitive Control on an Infinite Time Horizon
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
• Risk-Sensitive Markov Decision Processes

This page was built for publication: Dissipative stochastic differential systems with risk-sensitive storage function and control design problems