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Risk-Averse Control of Linear-Quadratic Tracking Problems

  • Khanh D. Pham
Chapter
  • 959 Downloads
Part of the SpringerBriefs in Optimization book series (BRIEFSOPTI)

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.

Keywords

Linear Quadratic Tracking Problem Performance Risk Aversion Performance-measure Statistics Statistical Optimal Control Problem Input Affine 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Khanh D. Pham 2013

Authors and Affiliations

  • Khanh D. Pham
    • 1
  1. 1.The Air Force Research LaboratorySpace Vehicles DirectorateKirtland Air Force BaseUSA

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