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Minimum entropy control of closed loop tracking errors for dynamic stochastic systems

Yue, Hong and Wang, Hong (2003) Minimum entropy control of closed loop tracking errors for dynamic stochastic systems. IEEE Transactions on Automatic Control, 48 (1). pp. 118-122. ISSN 0018-9286

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The entropy has been used to characterize the uncertainty of the tracking error for general nonlinear and non-Gaussian stochastic systems. A recursive optimization solution has been developed and the local stability condition of the closed-loop system has been established. The generality of this algorithm has been proved by the special case study of the minimum variance control for linear Gaussian systems.