Abstract
The topic of risk-averse control is currently receiving substantial research from the theoretical community oriented toward stochastic control theory. For instance, this present chapter extends the application of risk-averse controller design to control a wide class of linear-quadratic tracking systems where output measurements of a tracker follow as closely as possible a desired trajectory via a complete statistical description of the associated integral-quadratic performance measure. It is shown that the tracking problem can be solved in two parts: one, a feedback control whose optimization criterion is based on a linear combination of finite cumulant indices of an integral-quadratic performance measure associated to a linear stochastic tracking system over a finite horizonand two, an affine control which takes into account of dynamics mismatched between a desired trajectory and tracker states.
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© 2013 Khanh D. Pham
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Pham, K.D. (2013). Risk-Averse Control of Linear-Quadratic Tracking Problems. In: Linear-Quadratic Controls in Risk-Averse Decision Making. SpringerBriefs in Optimization. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-5079-5_2
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DOI: https://doi.org/10.1007/978-1-4614-5079-5_2
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