Robust Controller Design for Linear Stochastic Systems with Uncertain Parameters

@article{McDowell1986RobustCD,
  title={Robust Controller Design for Linear Stochastic Systems with Uncertain Parameters},
  author={Paul H. McDowell and Tamer Basar},
  journal={1986 American Control Conference},
  year={1986},
  pages={39-44}
}
In this paper we address the problem of robust control of linear time-invariant stochastic systems with parametric uncertainties under two different approaches namely minimum sensitivity and minimax. We first develop the necessary mathematical framework for such an analysis, and then conduct a comparative study of performance attained by controllers of different orders, derived under these two approaches. Finally. we illustrate the approach on a numerical example.