H control and estimation of discrete-time linear systems with stochastic parameter uncertainties

E. Gershon, U. Shaked, I. Yaesh

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Linear discrete-time systems with stochastic uncertainties in their state-space matrices are considered. The problems of finite-horizon state-feedback control and filtering are solved, taking into account possible cross-correlations between the uncertain parameters. In both problems, a cost function is defined which is the expected value of the standard H performance index with respect to the uncertain parameters. In the state-feedback case, we derive a necessary and sufficient condition for the cost to be non-positive, for all possible energy bounded exogenous signals. A solution to the filtering problem is obtained by applying the adjoint system. It guarantees a prescribed estimation level of accuracy while minimizing an upper-bound on the covariance of the estimation error. The filtering problem is also analyzed in the stationary case. The results for the state-feedback and the filtering problems are then used to solve the corresponding output-feedback problem. An example is given which demonstrates the use of the theory developed.

Original languageEnglish
Title of host publicationEuropean Control Conference, ECC 1999 - Conference Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1310-1315
Number of pages6
ISBN (Electronic)9783952417355
StatePublished - 24 Mar 2015
Event1999 European Control Conference, ECC 1999 - Karlsruhe, Germany
Duration: 31 Aug 19993 Sep 1999

Publication series

NameEuropean Control Conference, ECC 1999 - Conference Proceedings

Conference

Conference1999 European Control Conference, ECC 1999
Country/TerritoryGermany
CityKarlsruhe
Period31/08/993/09/99

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