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Controller Design for Discrete-Time Stochastic Processes With Nonquadratic Loss

Summary: [This abstract is based on the authors' abstract.]When the objective for controller design is specified as the expected value of a nonsymmetric, nonquadratic loss functional, the closed-loop process dynamics must be related to the stationary probability density function (pdf). A general solution to this problem is not attainable because cases exhibiting explicit relationships are rare. A technique is proposed for developing approximations of the optimal control law by application of a dynamics-pdf approximation. Application of the technique is illustrated with numerical simulations.

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  • Topics:
  • Keywords: Density estimation,Feedback control,Non-normality,Nonlinear models,Probability function
  • Author: Forbes, Michael G.; Forbes, J. Fraser; Guay, Martin
  • Journal: Technometrics