Abstract
AbstractWe propose a finite‐horizon robust minimax tracking controller design method for time‐varying continuous time stochastic uncertain systems. The uncertainty in the system is characterized by a set of probability measures under which stochastic noises, driving the system, are defined. A minimax optimal tracking controller is derived from the solution of a risk‐sensitive linear quadratic Gaussian control problem. Also a numerical example is presented to illustrate the characteristics of proposed tracking controller. Copyright © 2008 John Wiley and Sons Asia Pte Ltd and Chinese Automatic Control Society
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