Stochastic output feedback control: Convex lifting approach

• Autores: Ngoc Anh Nguyen
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Vol. 89, 2018, págs. 212-220
• Idioma: inglés
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• Resumen

  • This paper presents a method to design output feedback control for discrete-time linear systems, affected by bounded additive state, output disturbances, and subject to chance constraints on the state and hard constraints on the control input. This method relies on a so-called convex lifting which is a nonnegative, convex, piecewise affine function, equal to 0 over a given stochastic positively invariant set and strictly positive outside this set. Accordingly, it is shown that this function is strictly decreasing along the closed-loop dynamics outside this invariant set and convergent to 0 as time tends to infinity. Consequently, the state is convergent to the given invariant set, while the method only requires solving a linear program at each sampling instant.