Polynomial and Multilinear Performance Criteria for Discrete-Time Nonlinear Stochastic Dynamical Systems

被引：1
|
作者：
Lanchares, Manuel [1 ]
Haddad, Wassim M. [1 ]
机构：
[1] Georgia Inst Technol, Sch Aerosp Engn, Atlanta, GA 30332 USA
来源：
2021 60TH IEEE CONFERENCE ON DECISION AND CONTROL (CDC) | 2021年
关键词：
D O I：
10.1109/CDC45484.2021.9683251
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, we investigate the role of Lyapunov functions in evaluating nonlinear-nonquadratic cost functionals for Ito-type nonlinear stochastic difference equations. Specifically, it is shown that the cost functional can be evaluated in closed-form as long as the cost functional is related in a specific way to an underlying Lyapunov function that guarantees asymptotic stability in probability. This result is then used to analyze discrete-time linear stochastic systems as well as nonlinear stochastic dynamical systems with polynomial and multilinear cost functionals.
引用
收藏
页码：5946 / 5951
页数：6
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