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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Bibliographic Details

Published in:	International journal of robust and nonlinear control Vol. 33; no. 10; pp. 5484 - 5509
Main Authors:	Hua, Haochen, Gashi, Bujar, Zhang, Moyu
Format:	Journal Article
Language:	English
Published:	Bognor Regis Wiley Subscription Services, Inc 10.07.2023
Subjects:	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
Online Access:	Get full text
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