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Backstepping controller design for nonlinear stochastic systems under a risk-sensitive cost criterion. (English) Zbl 0924.93046

This paper develops a methodology for recursive construction of optimal and near-optimal controllers for strict-feedback stochastic nonlinear systems, given by stochastic differential equations, under a risk-sensitive cost function criterion. The authors investigated cost-level satisfaction problems and obtained the design procedure, using the integrator backstepping procedure. They also extended these results to nonlinear systems with zero dynamics. The theoretical results are applied to a second-order system as a numerical example.
Reviewer: M.Nisio (Osaka)

MSC:

93E20 Optimal stochastic control
93C10 Nonlinear systems in control theory
91A23 Differential games (aspects of game theory)
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