Abstract
We consider a multivariable linear system with additive inputs and noise governed by a stochastic process with independent increments. We allow the parameters of the system to change in time. We assume that the exact form of the coefficients is not known, rather the intervals within which these coefficients fluctuate are given. In addition, we do not know the exact state of the system, rather we observe the output process correlated with this state. The set of allowable controls are feedback controls based on the observation of the output process and "an ideal model dynamics." With each control we associate a performance functional characterizing "the quality of tracking process," and the objective is to construct a robust feedback control which minimizes the maximal performance functional within the class of systems with nonstochastic coefficients fluctuating in the given intervals.
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