Low-sensitivity dynamic compensators for linear stochastic systems with random parameters

Abstract

This paper presents procedures for the low-trajectory sensitivity design of reduced-order output feedback dynamic controllers for linear stochastic systems with uncertain parameters having zero-mean random variations around their expected values. Both the finite and infinite terminal time designs are discussed. Matrices are conveniently partitioned to reduce computational effort. Several special cases are considered, leading to simpler problem designs. Two numerical examples are included.