NDLI: On state covariance bounds for linear stochastic uncertain systems

Content Provider	IEEE Xplore Digital Library
Author	Bolzern, P. Colaneri, P. De Nicolao, G.
Copyright Year	1992
Description	Author affiliation: Dipartimento di Elettronica e Inf., Politecnico di Milano, Italy (Bolzern, P.; Colaneri, P.; De Nicolao, G.)
Abstract	For the case of robustness of closed-loop linear systems in the face of uncertainty in the system parameters, it is shown that a Riccati equation approach can be pursued in the discrete-time case. The extension requires the analysis of a suitable symplectic pencil. It turns out that, depending on the scalar parameter beta which appears in a H/sub infinity /-type Riccati equation, the picture is more involved than in continuous-time. For some values of beta the stabilizing solution exists but does not yield a covariance bound. The second issue addressed is the problem of computing the value of beta that minimizes the trace of the covariance bound. It is proven that such an optimization problem is convex and therefore amenable to iterative methods of solution.<>
Starting Page	3742
Ending Page	3743
File Size	230266
Page Count	2
File Format	PDF
ISBN	0780308727
DOI	10.1109/CDC.1992.371187
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1992-12-16
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Stochastic systems Uncertain systems Riccati equations Robustness Linear systems Uncertainty Optimization methods Iterative methods
Content Type	Text
Resource Type	Article

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