NDLI: On linear solutions to a class of risk sensitive control for linear systems with stochastic parameters

Content Provider	IEEE Xplore Digital Library
Author	Ito, Yuji Fujimoto, Kenji Tadokoro, Yukihiro Yoshimura, Takayoshi
Copyright Year	2015
Description	Author affiliation: Department of Aeronautics and Astronautics, Graduate School of Engineering, Kyoto University, Kyotodaigakukatsura, Nishikyo-ku, Kyoto-shi, 615-8540, Japan (Fujimoto, Kenji) \|\| TOYOTA CENTRAL R&D LABS., INC., 41-1 Yokomichi, Nagakute-shi, Aichi, 480-1192, Japan (Ito, Yuji; Tadokoro, Yukihiro; Yoshimura, Takayoshi)
Abstract	In this paper, we propose a new risk sensitive (RS) control law of finite time for linear systems with stochastic system parameters. Stochastic parameters entail a nonlinear RS controller that is not compatible with linear systems, and can be thus unreliable. Moreover, it is difficult to obtain a globally defined exact solution due to the nonlinearity. To solve these problems, we derive a novel problem setting based on standard RS control. The standard RS type cost function is converted to a weighted sum of quadratic functions such that resulting feedback is linear in the state variable. How to convert the cost function without losing the characteristic of RS control is the main topic of this paper. We derive a novel weight independently of the state and input to obtain a linear RS control law. This allows one to derive the exact solution that is globally defined similarly to the well-known linear quadratic control problem. Such a linear controller offers high reliability and safe implementation without restricting the control region of the state. A numerical simulation demonstrates the effectiveness of the proposed method.
Starting Page	6516
Ending Page	6523
File Size	213024
Page Count	8
File Format	PDF
e-ISBN	9781479978861
DOI	10.1109/CDC.2015.7403246
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2015-12-15
Publisher Place	Japan
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Cost function Standards Linear systems State feedback Stochastic processes Stochastic systems Minimization
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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