Stochastic approach to H<sub>∞</sub>-optimization
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Semyonov, A. V.
Vladimirov, I. G.
Kurdjukov, A. P.
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Abstract
A stochastic H∞-optimization problem is stated. The links between the problem formulated and the standard H∞-optimization problem are outlined. By means of the stochastic gain with respect to Gaussian family, a stochastic interpretation of the entropy integral is given.
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Proceedings of the IEEE Conference on Decision and Control
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