@inproceedings{bf0bea26fe534a53b0393a29d0dfcee3,
title = "Linear systems with multiplicative noise: Discrete-time H∞ tracking with preview",
abstract = "The problem of finite-horizon H∞ tracking for linear time-varying systems with stochastic parameter uncertainties is investigated. We consider three tracking patterns depending on the nature of the reference signal i.e : whether it is perfectly known in advance, measured on line or previewed in a fixed time-interval ahead. The stochastic uncertainties appear in both the dynamic and measurement matrices of the system. For each of the above three cases a game theory approach is applied where, given a specific reference signal, the controller plays against nature which chooses the initial condition and the energy-bounded disturbance. The problems are solved using an expected value of the standard performance index over the stochastic parameters, where necessary and sufficient conditions are found for the existence of a saddle-point equilibrium. The infinite-horizon time-invariant tracking problem is also solved. The theory developed is demonstrated by a simple example.",
keywords = "LMI, preview tracking, Stochastic H, stochastic uncertainty, tracking",
author = "E. Gershon and Limebeer, {D. J.N.} and U. Shaked and I. Yaesh",
note = "Publisher Copyright: {\textcopyright} 2001 EUCA.; 6th European Control Conference, ECC 2001 ; Conference date: 04-09-2001 Through 07-09-2001",
year = "2001",
language = "English",
series = "2001 European Control Conference, ECC 2001",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "3475--3480",
booktitle = "2001 European Control Conference, ECC 2001",
address = "United States",
}