Minimax optimal control of stochastic uncertain systems with relative entropy constraints

Abstract

Considers a class of discrete time stochastic uncertain systems in which the uncertainty is described by a constraint on the relative entropy between a nominal noise distribution and the perturbed noise distribution. The paper solves problems of worst case robust performance analysis and output feedback minimax optimal controller synthesis in a general nonlinear setting. Specializing these results to the linear case leads to a minimax LQG optimal controller.