New risk-averse control paradigm for stochastic two-time-scale systems and performance robustness

DOI10.1007/s10957-009-9629-xzbMath1211.93140OpenAlexW2094574957MaRDI QIDQ604249

Khanh D. Pham

Publication date: 10 November 2010

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-009-9629-x

zbMATH Keywords

Mayer form optimizationmultiobjective cumulant-based controlrisk-averse controllerstwo-time-scale stochastic system

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (3)

Identification of two-time scaled systems using prefilters ⋮ Modeling Interactions in Complex Systems: Self-Coordination, Game-Theoretic Design Protocols, and Performance Reliability-Aided Decision Making ⋮ Performance-reliability-aided decision-making in multiperson quadratic decision games against jamming and estimation confrontations

Cites Work

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• Cost cumulant control: State-feedback, finite-horizon paradigm with application to seismic protection
• Singular perturbation of linear regulators: Basic theorems
• Linear regulator design for stochastic systems by a multiple time-scales method

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