Sufficient Conditions for Robust Stability of LQG Optimal Control Systems Including Delayed Perturbations

H. S. Wu
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H. S. Wu: Hiroshima Prefectural University

Journal of Optimization Theory and Applications, 1998, vol. 96, issue 2, No 9, 437-451

Abstract: Abstract Linear-quadratic Gaussian (LQG) optimal control systems subject to time-varying delay and nonlinear state perturbations are considered. Some robust stability conditions are derived which result in several bounds on the delayed state perturbations so that the uncertain linear-quadratic Gaussian optimal control systems with time-varying delay can remain stable in the sense of uniform ultimate boundedness. The modified Lyapunov equation and the improved Razumikhin-type theorem are employed to investigate such robust stability conditions. Finally, a numerical example is given to demonstrate the validity of the results.

Keywords: Linear stochastic systems; LQG optimal control; time delays; robust stability; state estimation; algebraic Lyapunov equation; uniform ultimate boundedness (search for similar items in EconPapers)
Date: 1998
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DOI: 10.1023/A:1022678316780

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