On Dissipation in Stochastic Systems

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    We define the property of dissipativity for controlled Ito diffusions. We investigate elementary properties, and we demonstrate that the framework is useful for control problems in which both probabilistic and worst-case representations of dynamic uncertainty are present. As an example we discuss a problem involving robust ℋ2 performance in presence of two types of dynamic uncertainty: ℋ∞ bounded perturbations, and disturbances with finite signal-to-noise ratio in the sense of Skelton.
    Original languageEnglish
    Title of host publicationProceedings of the American Control Conference, 1999
    Publication date1999
    ISBN (Print)0-7803-4990-3
    Publication statusPublished - 1999
    EventAmerican Control Conference 1999 - San Diego, CA, United States
    Duration: 2 Jun 19994 Jun 1999


    ConferenceAmerican Control Conference 1999
    Country/TerritoryUnited States
    CitySan Diego, CA

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