A novel cautious controller to uncertain models arising in stochastic control

Randa Herzallah*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


In this paper we present the Riccati solution of linear quadratic control problems with input and state dependent noise. The proposed solution will be referred to as the cautious Riccati solution. It is suitable for deterministic and stochastic systems characterised by functional uncertainty. Uncertainty of the system equations is quantified using a state and control dependent noise model. The derived optimal control law is shown to be of cautious type controllers. Since the problem considered in this paper is a minimisation problem subject to equality constraints, the derivation of the cautious Riccati solution is based on defining a set of Lagrange multipliers. The cautious Riccati solution is implemented to linear multi dimensional control problem and compared to the certainty equivalent Riccati solution.

Original languageEnglish
Pages (from-to)110-118
Number of pages9
JournalInternational Journal of Modelling, Identification and Control
Issue number2
Publication statusPublished - 31 Mar 2009


  • Functional uncertainty
  • Linear quadratic optimal control
  • Multivariate control
  • Stochastic systems


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