Attaining Mean Square Boundedness of a Marginally Stable Stochastic Linear System With a Bounded Control Input

作者：Ramponi Federico^*; Chatterjee Debasish; Milias Argeitis Andreas; Hokayem Peter; Lygeros John

来源：IEEE Transactions on Automatic Control, 2010, 55(10): 2414-2418.

DOI：10.1109/TAC.2010.2054850

• Bounded controls
• linear systems
• stochastic stability

We construct control policies that ensure bounded variance of a noisy marginally stable linear system in closed-loop. It is assumed that the noise sequence is a mutually independent sequence of random vectors, enters the dynamics affinely, and has bounded fourth moment. The magnitude of the control is required to be of the order of the first moment of the noise, and the policies we obtain are simple and computable.

• 出版日期2010-10