Existence of Minimum Upcrossing Controllers

Summary, in English

An optimal stochastic control problem that minimizes the probability that a signal upcrosses a level is solved by rewriting it as a one-parametric optimization problem over a set of LQG control problem solutions. Finding the optimal controller can be interpreted as finding an optimal costing transfer function. The existence of the optimal controller is investigated in a constructive way, and it is shown that it is equivalent to the existence of a controller with sufficiently small closed-loop variance of the controlled signal.

• Författare: Anders Hansson; Per Hagander
• Avdelning/ar: Institutionen för reglerteknik
• Publiceringsår: 1997
• Språk: Engelska
• Sidor: 871-879
• Publikation/Tidskrift/Serie: Automatica
• Volym: 33
• Issue: 5
• Länkar: http://dx.doi.org/10.1016/S0005-1098(96)00256-7
• Dokumenttyp: Artikel i tidskrift
• Förlag: Pergamon Press Ltd.
• Ämne: Control Engineering
• Status: Published
• ISBN/ISSN/Övrigt: ISSN: 0005-1098