Abstract
We consider a family of stochastic control models with partial state observation that are driven by noise disturbances supposed to model reality more closely than white Gaussian noise (WGN). Under some assumptions it is shown that, for small values of the indexing parameter, these models are close in a suitable sense to an ideal limit model with linear dynamics and WGN. It is furthermore shown that nearly optimal controls for the limit model remain nearly optimal also in the prelimit models of the given family and that, is a “limiter” is used in the observations, the corresponding value of the objective function is little sensitive to the tails of the observation noise distribution.
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© 1992 Springer-Verlag
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Runggaldier, W.J. (1992). Some aspects of robustness in stochastic and adaptive control. In: Duncan, T.E., Pasik-Duncan, B. (eds) Stochastic Theory and Adaptive Control. Lecture Notes in Control and Information Sciences, vol 184. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0113256
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DOI: https://doi.org/10.1007/BFb0113256
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