Variance-Constrained Multi-Objective Stochastic Control and Filtering

Preface

Nonlinearity and stochasticity are arguably two of the main resources in reality that have resulted in considerable system complexity. Therefore, recently, control and filtering of nonlinear stochastic systems have been an active branch within the general research area of nonlinear control problems. In engineering practice, it is always desirable to design systems capable of simultaneously guaranteeing various performance requirements to meet the ever-increasing practical demands toward the simultaneous satisfaction of performances such as stability, robustness, precision, and reliability, among which the system covariance plays a vital role in system analysis and synthesis due to the fact that several design objectives, such as stability, time-domain and frequency-domain performance specifications, robustness, and reliability, can be directly related to steady-state covariance of the closed-loop systems.

In this book, we discuss the multi-objective control and filtering problems for a class of nonlinear stochastic systems with variance constraints. The stochastic nonlinearities taken into consideration are quite general and could cover several classes of well-studied nonlinear stochastic systems. The content of this book is divided mainly into two parts. In the first part, we focus on the variance-constrained control and filtering problems for time-invariant nonlinear stochastic systems subject to different kinds of complex situations, including measurements missing, ...