Fully Probabilistic Design for Stochastic Discrete System with Multiplicative Noise

Zhou, Yuyang; Herzallah, Randa; Zafar, Ana

Abstract

In this paper, a novel algorithm based on fully probabilistic design (FPD) is proposed for a class of linear stochastic dynamic processes with multiplicative noise. Compared with the traditional FPD, the new procedure is presented to deal with multiplicative noise and the system parameters are estimated online using linear optimisation methods. The performance index is characterised by the Kullback-Leibler divergence (KLD) distance. The generalised probabilistic control law is obtained by solving a generalised Riccatti equation that takes the multiplicative noise into consideration. To demonstrate the effectiveness of the proposed method, a numerical example is given and the results are compared with the traditional FPD.

Citation

Zhou, Y., Herzallah, R., & Zafar, A. (2019, July). Fully Probabilistic Design for Stochastic Discrete System with Multiplicative Noise. Presented at 2019 IEEE 15th International Conference on Control and Automation (ICCA), Edinburgh, United Kingdom

• Presentation Conference Type: Conference Paper (published)
• Conference Name: 2019 IEEE 15th International Conference on Control and Automation (ICCA)
• Start Date: Jul 16, 2019
• End Date: Jul 19, 2019
• Online Publication Date: Nov 14, 2019
• Publication Date: 2019
• Deposit Date: Dec 9, 2021
• Publisher: Institute of Electrical and Electronics Engineers
• Series ISSN: 1948-3457
• Book Title: 2019 IEEE 15th International Conference on Control and Automation (ICCA)
• DOI: https://doi.org/10.1109/icca.2019.8899607
• Public URL: http://researchrepository.napier.ac.uk/Output/2817822