Robust risk‐sensitive control

Summary We introduce a risk‐sensitive generalization of the mixed H2/H∞$$ {H}_2/{H}_{\infty } $$ control problem for linear stochastic systems with additive noise. Two criteria of exponential‐quadratic form are used to generalise the usual quadratic criteria. The solutions are found in a linear stat...

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Vydané v:	International journal of robust and nonlinear control Ročník 33; číslo 10; s. 5484 - 5509
Hlavní autori:	Hua, Haochen, Gashi, Bujar, Zhang, Moyu
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Bognor Regis Wiley Subscription Services, Inc 10.07.2023
Predmet:	Criteria Differential equations H-infinity control Mathematical analysis Quadratic forms Risk management risk‐sensitive control Robust control robust portfolio control stochastic mixed H2/H∞$$ {H}_2/{H}_{\infty } $$ control Stochastic systems
ISSN:	1049-8923, 1099-1239
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