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Robust Stochastic Performance Optimization

Bernhardsson, Bo LU (1993) 12th IFAC World Congress In IFAC Proceedings Volumes
Abstract
The problem of finding the controller that optimizes the expected H2-norm of an uncertain system is solved in closed form for a class of problems including such signal processing applications as feedforward design, channel equalization, noise cancellation etc. The method uses covariance information on model uncertainty and does therefore match information obtainable from standard system identification. The optimal controller is found by using a spectral factorization to rewrite the problem as an H2-problem for an extended system. The article puts a restrictions on where uncertain parameters enter. The need for hard bounds on parameters can then be avoided. The method also avoids the conservativeness related to designing for worst... (More)
The problem of finding the controller that optimizes the expected H2-norm of an uncertain system is solved in closed form for a class of problems including such signal processing applications as feedforward design, channel equalization, noise cancellation etc. The method uses covariance information on model uncertainty and does therefore match information obtainable from standard system identification. The optimal controller is found by using a spectral factorization to rewrite the problem as an H2-problem for an extended system. The article puts a restrictions on where uncertain parameters enter. The need for hard bounds on parameters can then be avoided. The method also avoids the conservativeness related to designing for worst cases.
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Please use this url to cite or link to this publication:
author
organization
publishing date
type
Chapter in Book/Report/Conference proceeding
publication status
published
subject
in
IFAC Proceedings Volumes
conference name
12th IFAC World Congress
DOI
10.1016/S1474-6670(17)48944-0
language
English
LU publication?
yes
id
0b97e46a-82f5-44e8-8fd8-dd2bace13475 (old id 8517345)
date added to LUP
2016-01-14 11:24:53
date last changed
2017-08-02 11:20:40
@inproceedings{0b97e46a-82f5-44e8-8fd8-dd2bace13475,
  abstract     = {The problem of finding the controller that optimizes the expected H2-norm of an uncertain system is solved in closed form for a class of problems including such signal processing applications as feedforward design, channel equalization, noise cancellation etc. The method uses covariance information on model uncertainty and does therefore match information obtainable from standard system identification. The optimal controller is found by using a spectral factorization to rewrite the problem as an H2-problem for an extended system. The article puts a restrictions on where uncertain parameters enter. The need for hard bounds on parameters can then be avoided. The method also avoids the conservativeness related to designing for worst cases.<br/>},
  author       = {Bernhardsson, Bo},
  booktitle    = {IFAC Proceedings Volumes},
  language     = {eng},
  title        = {Robust Stochastic Performance Optimization},
  url          = {http://dx.doi.org/10.1016/S1474-6670(17)48944-0},
  year         = {1993},
}