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Variance-Constrained Multi-Objective Stochastic Control and Filtering by Yuming Bo, Zidong Wang, Lifeng Ma

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Chapter 1Introduction

It is widely recognized that in almost all engineering applications, nonlinearities are inevitable and could not be eliminated thoroughly. Hence, the nonlinear systems have gained more and more research attention, and many results have been published. On the other hand, due to the wide appearance of stochastic phenomena in almost every aspect of our daily lives, stochastic systems that have found successful applications in many branches of science and engineering practice have stirred quite a lot of research interest during the past few decades. Therefore, control and filtering problems for nonlinear stochastic systems have been studied extensively in order to meet an ever-increasing demand toward systems with both nonlinearities and stochasticity.

In many engineering control/filtering problems, the performance requirements are naturally expressed by the upper bounds on the steady-state covariance, which is usually applied to scale the control/estimation precision, one of the most important performance indices of stochastic design problems. As a result, a large number of control and filtering methodologies have been developed to seek a convenient way to solve the variance-constrained design problems, among which the linear quadratic Gaussian(LQG) control and Kalman filtering are two representative minimum variance design algorithms.

On the other hand, in addition to the variance constraints, real-world engineering practice also desires the simultaneous ...

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