This article is cited in 4 papers

Stochastic Systems, Queuing Systems

Design of optimal state controller robust to external disturbance for one class of nonstationary stochastic systems

M. E. Shaikin

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

Abstract: Consideration was given to the problem of optimal control of a stochastic dynamic system subject to uncontrollable stochastic disturbances. The system is defined over a finite time interval, and its diffusion coefficient depends linearly on the state vector, control signal, and external disturbance. The feedback controller was assumed to be nonstationary, and linear in the state vector. A law of optimal control robust to the external disturbance was established.

Presented by the member of Editorial Board: A. P. Kurdyukov

Received: 03.06.2014

 English version: Automation and Remote Control, 2015, 76:7, 1242–1251

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