Cautious Hierarchical Switching Control of Stochastic Linear Systems

Wednesday, December 4, 2002 - 3:40pm - 4:20pm
Keller 3-180
Maria Prandini (Università di Brescia)
We address the problem of controlling an unknown stochastic linear system and propose a new methodology that incorporates the advantages of cautious stochastic control and switching control in a hierarchical scheme. The design of cautious switching controllers is based on the following two-step procedure: i) a probability measure describing the likelihood of different models is updated on-line based on observations; and ii) at each switching time, the controller in the candidate controller set that optimizes a certain average control cost with respect to the updated probability measure is selected. If a certain structured set of candidate controllers is used in the above cautious switching scheme, then a controller is automatically chosen that suitably compromises performance against robustness. Randomized algorithms are used to make the controller selection computationally tractable.

This is a joint work with M.C. Campi and J.P. Hespanha.