Browsing by Subject "Stochastic"
Now showing items 1-3 of 3
-
Conference Object
Action functional stochastic H∞ estimation for nonlinear discrete time systems
(2002)This paper presents an action functional, sample path optimization technique, for formulating and solving nonlinear discrete-time stochastic H∞ estimation problems. These H∞ problems are formulated as minimax dynamic games ...
-
Article
Lie algebraic methods in optimal control of stochastic systems with exponential-of-integral cost
(1999)The purpose of this paper is to formulate and study the optimal control of partially observed stochastic systems with exponential-of-integral-sample cost, known as risk-sensitive problems, using Lie algebraic tools. This ...
-
Conference Object
Stochastic H∞-control of nonlinear discrete-time partially observable systems and dissipation inequalities
(2002)This paper employs an action functional approach to formulate partially observable nonlinear discrete-time stochastic minimax games. The maximizing players of the games are stochastic square summable disturbances, while ...