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On the worst-case disturbance of minimax optimal control |
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| Authors: | Myung-Gon Yoon [Author Vitae] Valery A. Ugrinovskii [Author Vitae] |
| Affiliation: | a Department of Precision Mechanical Engineering, Kangnung National University, Kangnung, 120-702, Republic of Korea b School of Information Technology and Electrical Engineering, The University of New South Wales at the Australian Defence Force Academy, ADFA, Canberra ACT 2600, Australia |
| Abstract: | We consider a minimax optimal control problem for uncertain stochastic systems. The uncertainty in the underlying stochastic system is formulated in terms of probability measure perturbations satisfying a relative entropy constraint. By characterizing the worst-case measure for a related stochastic minimax game, it is shown that the worst-case uncertain system can be represented in the form of a parametric perturbation of the nominal system. A numerical example is presented to illustrate theoretical results developed in this paper. |
| Keywords: | Robust control Stochastic control Minimax control Worst-case design Risk-sensitive control |
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