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Relations Between Optimal Risk-Sensitive Stochastic Control/Filtering and Robust Control/ Filtering

In this work, the connection between robust deterministic filtering and control with respect to external disturbances, also known as state space tex2html_wrap_inline3112 robust control and filtering, and stochastic optimal control and filtering is introduced by invoking large deviations theoretic concepts. This link is of particular interest in mathematical models in which the disturbances are inherently random but robust filters and controller are preferable.

C.D. Charalambous
 


Annual Report

Mon Jun 26 21:22:20 GMT 2000