Stochastic H tracking with preview for state-multiplicative systems

E. Gershon, D. J.N. Limebeer, U. Shaked, I. Yaesh

Research output: Contribution to journalArticlepeer-review

Abstract

The problem of finite-horizon H tracking for linear time-varying systems with stochastic parameter uncertainties is investigated. We consider three tracking patterns depending on the nature of the reference signal, i.e., whether it is perfectly known in advance, measured on line or previewed in a fixed time-interval ahead. The stochastic uncertainties appear in both the dynamic and measurement matrices of the system. For each of the above three cases a game theory approach is applied for the state-feedback case where, given a specific reference signal, the controller plays against nature which chooses the initial condition and the energy-bounded disturbance. The problems are solved using an expected value of the standard performance index over the stochastic parameters, where necessary and sufficient conditions are found for the existence of a saddle-point equilibrium. The infinite-horizon time-invariant tracking problem is also solved. The theory developed is demonstrated by a simple tracking example.

Original languageEnglish
Pages (from-to)2061-2068
Number of pages8
JournalIEEE Transactions on Automatic Control
Volume49
Issue number11
DOIs
StatePublished - Nov 2004

Keywords

  • Preview tracking
  • Stochastic H tracking
  • Stochastic uncertainty

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