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Minimax control for discrete-time time-varying stochastic systems |
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| Authors: | Xianping GuoAuthor Vitae Wen YuAuthor Vitae Xiaoou LiAuthor Vitae |
| Affiliation: | a Department of Statistical Science, Zhongshan University, Guangzhou, China b Departamento de Control Automatico,CINVESTAV-IPN, Mexico D.F. 07360, Mexico c Seccion de Computacion, Departamento de Ingenieria Electrica, CINVESTAV-IPN, Mexico D.F. 07360, Mexico d Departamento de Matematicas, CINVESTAV-IPN, Mexico D.F. 07360, Mexico |
| Abstract: | This paper gives a self-contained presentation of minimax control for discrete-time time-varying stochastic systems under finite- and infinite-horizon expected total cost performance criteria. Suitable conditions for the existence of minimax strategies are proposed. Also, we prove that the values of the finite-horizon problem converge to the values of the infinite-horizon problems. Moreover, for finite-horizon problems an algorithm of calculation of minimax strategies is developed and tested by using time-varying stochastic systems. |
| Keywords: | Minimax techniques Time-varying system Stochastic system |
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