Attaining mean square boundedness of a marginally stable noisy linear system with a bounded control input

Details Attaining mean square boundedness of a marginally stable noisy linear system with a bounded control input Attaining mean square boundedness of a marginally stable noisy linear system with a bounded control input

2009-07-09

arxiv.org/abs/0907.1436v3

IEEE Transactions on Automatic Control, Vol 55, No. 10, pp. 2414-2418, 2010

Mathematics

Optimization and Control

10 pages

Scientific paper

10.1109/TAC.2010.2054850

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.

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