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Fully probabilistic control design - CAS.pdf

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ARTICLE IN PRESS Systems Control Letters ( ) – /locate/sysconle 1 Fully probabilistic control design ∗ 3 Miroslav Kárný , Tatiana V. Guy Department of Adaptive Systems, Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, 5 P.O. Box 18, 182 08 Prague 8, Czech Republic Received 16 July 2004; received in revised form 9 August 2005; accepted 9 August 2005 Abstract 7 Stochastic control design chooses the controller that makes the closed-loop behavior as close as possible to the desired one. The fully F 9 probabilistic design describes both the closed loop and its desired behavior in probabilistic terms and uses Kullback–Leibler divergence as their proximity measure. This approach: (i) uniﬁes stochastic control design methodology; (ii) provides explicit minimizer. O 11 The paper completes the previous solutions of various particular cases by formulating and solving the fully probabilistic control design in the general, discrete-time, state-space setting. O 13 © 2005 Published by Elsevier B.V. R Keywords: Stochastic control design; Fully probabilistic design; State-space models P 15 1. Introduction