Optimization of nonlinear stochastic uncertain relaxed controlled systems: Entropy rate functional and robustness
Date
2004Source
Proceedings of the IEEE Conference on Decision and ControlProceedings of the IEEE Conference on Decision and Control
Volume
3Pages
25612565Google Scholar check
Keyword(s):
Metadata
Show full item recordAbstract
This paper is concerned with nonlinear stochastic uncertain relaxed controlled difussions, in which the payoff is described by the relative entropy between the nominal measure and the uncertain measure, when the uncertain measure satisfies certain energy inequality constraints. With respect to this formulation two problems are defined. The first, seeks to minimize the relative entropy over the set of unknown measures which satisfy inequality constraints. The second, seeks to maximize over the set of admissible relaxed control laws, the minimum value of relative entropy induced by the uncertain measures among those which satisfy inequality constraints. The second problem is equivalent to a minimax problem, while the first is an optimization problem with respect to a fix control law. Certain monotonicity properties of the optimal solution are discussed, while relations to the wellknown Cramer's theorem of large deviations are introduced. In addition, the implication of these results to minimax games for fully observable stochastic systems in which the strategies are measures are delineated and relations to risksensitive control problems are investigated.
Collections
Cite as
Related items
Showing items related by title, author, creator and subject.

Conference Object
Decentralized fault accommodation of a class of interconnected nonlinear systems using an adaptive approximation approach
Panagi, P.; Polycarpou, Marios M. (2009)This paper presents a decentralized adaptive approximation design for the fault tolerant control of interconnected subsystems. We consider faults that occur in the subsystems local dynamics as well as in the interconnection ...

Conference Object
On multiobjective H2/H∞ optimal control
Djouadi, S. M.; Charalambous, Charalambos D.; Repperger, D. W. (2001)In this paper the solutions to the optimal multiobjective H2/H∞ problem are characterized using Banach space duality theory, and shown to satisfy a flatness or allpass condition. Dual and predual spaces are identified, and ...

Article
Using adaptive networks to model and control drug delivery
Conway, J. Y.; Polycarpou, Marios M. (1996)